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Article

The Asset Allocation of Managers and Investors: Evidence from Hybrid Funds

Aymen Karoui
The Journal of Wealth Management Winter 2013, 16 (3) 69-81; DOI: https://doi.org/10.3905/jwm.2013.16.3.069
Aymen Karoui
is a professor at the University of Quebec in Montreal, QC, Canada.
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  • For correspondence: karoui.aymen@uqam.ca
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Abstract

This article analyzes the response of the asset allocation process to fund performance and broad market conditions as well as the market determinants of fund flows for hybrid funds. Using a fairly large sample of hybrid funds, the author’s findings reveal that managers increase their stock allocation and reduce their bond allocation subsequent to periods of outperformance; the stock allocation is positively correlated with past stock returns and negatively correlated with bond returns. For the bond allocation, he documents a negative correlation with lagged stock and bond returns. In addition, fund flows react favorably to an increase in stock and bond returns, while high-stock fund flows exhibit a higher sensitivity to stock returns.

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The Journal of Wealth Management: 16 (3)
The Journal of Wealth Management
Vol. 16, Issue 3
Winter 2013
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The Asset Allocation of Managers and Investors: Evidence from Hybrid Funds
Aymen Karoui
The Journal of Wealth Management Oct 2013, 16 (3) 69-81; DOI: 10.3905/jwm.2013.16.3.069

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The Asset Allocation of Managers and Investors: Evidence from Hybrid Funds
Aymen Karoui
The Journal of Wealth Management Oct 2013, 16 (3) 69-81; DOI: 10.3905/jwm.2013.16.3.069
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