Welcome to the Academy of Financial Service’s 2019 Annual Meeting being held in Minneapolis, Minnesota in conjunction with FPA’s Annual Conference 2019. This is the full agenda for AFS. For details on FPA items, visit their Full Schedule. Please report any errors to support@academyfinancial.org.
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Tuesday, October 15 • 10:30am - 11:20am
B3a Slow and Steady Wins the Race: The Impact of Chasing Returns on Quartile Rankings

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This paper explores whether passive fund managers who aim to be in the 1st quartile by chasing higher returns (i.e. higher risk) are more likely to achieve their goal compared with those that chase somewhat lesser returns (i.e. lower risk). Using monthly historical returns from 01/01/1979 to 01/01/2018, we show that if a fund’s goal is to achieve higher AUM, it should aim to be in the 1st quartile every year. However, if a fund’s long-term goal is to stay in the 1st quartile, it should aim to be in the 2 nd quartile every year.

Author(s): Rama Malladi, Jennifer Brodmann


Rama Malladi

Associate Professor of Finance, California State University, Dominguez Hills

Tuesday October 15, 2019 10:30am - 11:20am CDT
202 AB

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