RT Journal Article
SR Electronic
T1 The Asset Allocation of Managers and Investors: <em>Evidence from Hybrid Funds</em>
JF The Journal of Wealth Management
FD Institutional Investor Journals
SP 69
OP 81
DO 10.3905/jwm.2013.16.3.069
VO 16
IS 3
A1 Aymen Karoui
YR 2013
UL https://pm-research.com/content/16/3/69.abstract
AB 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.TOPICS: Portfolio construction, performance measurement, security analysis and valuation, fixed income and structured finance