Managerial Abilities: Evidence from Religious Mutual Fund Managers
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In this study, we analyze the financial performance and the managerial abilities of religious mutual fund managers, implementing a comparative analysis with conventional mutual funds. We use a broad sample, free of survivorship bias, of religious equity mutual funds from the US market, for the period from January 1994 to September 2010. We build a matched-pair conventional sample in order to compare the results obtained for both kinds of mutual fund managers. We analyze stock-picking and market timing abilities, topics widely neglected for the specific case of religious mutual fund managers. We also study style timing abilities. As far as we are aware, this aspect has not been studied previously for religious mutual fund managers. Our results indicate that religious mutual fund managers underperform both the market and their conventional counterparts. This result is driven by negative stock-picking ability which could be generated by excluding “Sin” stocks from their portfolios. Moreover, they are not able to time the market or any of the following styles: size, book-to-market, and momentum.
KeywordsReligious mutual funds Stock-picking Market timing Style timing Conditional performance
The authors would like to thank the financial support provided by University of Zaragoza (Spain) through the research projects UZ2009-SOC-05 and UZ2010-SOC-02. We also would like to express our acknowledgements to Aragon Government by the funding received as Public and Official Research Group (GIECOFIN).
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