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The Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds vs. Pension Funds

Part of:JFQA William F. Sharpe Best Paper Award Winner

Published online by Cambridge University Press:  06 April 2009

Diane Del Guercio and
Paula A. Tkac
Diane Del Guercio
Affiliation:
dianedg@oregon.uoregon.edu, Lundquist College of Business, University of Oregon, Eugene, OR 97403
Paula A. Tkac
Affiliation:
paula.tkac@atl.frb.org, Research Department, Federal Reserve Bank of Atlanta, 1000 Peachtree St. NE, Atlanta, GA 30309.
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Abstract

This study compares the relations between asset flow and performance in the retail mutual fund and fiduciary pension fund segments of the money management industry, and relate empirical differences to fundamental differences in the clientele they serve. A striking difference is the shape of the flow-performance relation. In contrast to mutual fund investors, pension clients punish poorly performing managers by withdrawing assets under management and do not flock disproportionately to recent winners. We interpret these and other empirical differences in the context of the manager evaluation procedures typical in each segment. We conclude that pension managers have little incentive to engage in the risk-shifting behavior previously identified among mutual fund managers.

Information

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 37 , Issue 4 , December 2002, pp. 523 - 557
Copyright
Copyright © School of Business Administration, University of Washington 2002

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