Short-Term Performance and

Mutual Fund Size

Javier Vidal-Garca

June 2016

ABSTRACT
We examine the relation between short-term mutual fund performance and fund size around the world.
Using a large sample of worldwide equity funds we show that small funds outperform large funds,
suggesting diseconomies of scale for the mutual fund industry across countries. We find that fund size
shows a significantly negative coefficient using both net returns and Carhart alphas as dependent
variables, confirming the evidence that funds show diminishing returns to scale. We also find evidence of
a negative fund effect on stock picking ability, which indicates that the smallest funds have superior stock
picking skills compared to bigger funds. In contrast, market timing ability exhibits positive size effect,
suggesting that the largest the size of the fund, the greater the fund managers skills to accurately
anticipate the market fluctuations.

JEL Classification: G11, G12.

Keywords: Mutual Fund; Performance Measurement; Market Timing; Fund Size.

Electronic copy available at: http://ssrn.com/abstract=2801930

I. Introduction
The topic of selection skill and the role of size or liquidity have been widely examined
in the finance literature. However, most papers focus on stock selection ability ignoring
market timing and its relation with fund characteristics. In this paper we examine the
relation between market timing and fund size around the world using a sample of daily
returns covering over 90% of global market capitalization from January 1990 to
December 2015. An interesting topic which, to the best of our knowledge, has not been
studied so far.

The literature about market timing starts with the study of Treynor and Mazuy (1966),
who create their own methodology and only show market timing skills in 1 fund out of
a sample of 57. Henriksson (1984) also develop their own test of market timing and
only show timing skills in 3 funds out of 116. Later studies corroborate the
insignificance or market timing, these include Ferson and Schadt (1996), Becker et. al.
(1999), Wermers (2000), Goetzmann, Ingersoll, and Ivkovic (2000), Jiang (2003), and
Angelidis, Giamouridis, and Tessaromatis (2013).

Some authors examine market timing using holding data, Jiang, Yao, and Yu (2007)
point out that return-based tests suffer from artificial timing bias, they develop a market
timing measures using mutual funds holdings and show that equity funds have positive
market timing. They explain that their holdings-based measure is not subject to the
artificial timing bias. Elton, Gruber and Blake (2012) show that fund managers have
timing skills, they also point out that this is not reflected in better performance.

In a study with daily data, Bollen and Busse (2001) examine market timing ability for a
sample of U.S. equity funds. They point out that daily observations change the
conclusion about market timing ability, and that market timing tests are more powerful
using daily data. With the same dataset, Bollen and Busse (2005) evaluate persistence in
market timing and show evidence of short-term persistence. Using a global sample of
daily returns, Vidal, Vidal-Garca and Boubaker (2015) show than over a third of
mutual funds present positive market timing around the world.

Electronic copy available at: http://ssrn.com/abstract=2801930

Chen et al. (2004), Christoffersen, Keim, and Musto (2008), and Edelen, Evans, and
Kadlec (2013) are among the relevant papers on fund size, they show diseconomies of
scale for mutual fund size as, in general, larger funds underperform smaller funds,
although they report economies of scale for mutual fund family size. One exception is
Elton, Gruber, and Blake (2012), who document no diseconomies of scale in funds
classified by investment style. In this sense, Lopez-de-Silanes, Phalippou and
Gottschalg (2015) show diseconomies of scale for private equity and Fung, Hsieh, Naik
and Ramadorai (2008) for hedge funds. Andonov, Bauer and Cremers (2012) explain
that pension funds outperform due to important size limitations. The salary of the
mutual fund manager is usually based on the size of the fund and its performance
compared to a benchmark, this generates incentives for the fund manager to improve
short-term performance.

In our study, we account for some of the issues reported in previous research about fund
performance or market timing. Goetzmann, Ingersoll, and Ivkovic (2000) show that
monthly observations do not reflect the contribution of a managers skill as market
exposure decisions are made on a shorter interval than monthly. We employ daily
returns to solve this problem. In order to account for the cross-fund correlation and the
finite-sample characteristics of timing measures we implement a bootstrapping
procedure similar to Kosowski et. al. (2006).

This article makes several contributions to the literature about mutual fund performance.
First, we document that small funds outperform large funds, suggesting diseconomies of
scale for the mutual fund industry around the world. Second, we show that fund size
exhibits a significantly negative coefficient using both net returns and Carhart alphas as
dependent variables, confirming the evidence that funds show diminishing returns to
scale. Third, we provide evidence of a negative fund effect on stock picking ability, and
a positive fund effect on market timing ability across countries.

The paper proceeds as follows. Section II describes the sample and show summary
statistics. Section III explains the methodology to estimate performance, market timing
and fund size characteristic. Section IV shows and comments the results from the
regressions. Section V presents the conclusion. Additional information and tables are
provided in the Appendix.
2

II. Data and Descriptive Statistics

A. Sample Selection

The sample includes daily returns of 16,085 active equity funds. The funds are
domiciled in 35 countries around the world: Asia-Pacific (Australia, China, Hong Kong,
India, Indonesia, Japan, Malaysia, New Zealand, Singapore, South Korea, Taiwan,
Thailand); Europe (Austria, Belgium, Denmark, Finland, France, Germany, Italy,
Netherlands, Norway, Poland, Portugal, Spain, Sweden, Switzerland, United Kingdom,
Ireland, Luxembourg); North America (Canada, United States); and other regions
(Brazil, Chile, Israel, South Africa). Fund returns include any dividend distributed and
only the primary share class is considered as funds might have several share classes.
The returns are net of fees, which mean that include management fees but not sales
loads. Our sample period starts on January 1st, 1990 to December 31, 2015. We
download fund observations from Morningstar Direct database. We also download
time-series information on total net assets, fund turnover, expense ratio, fund age, fund
flow, and the funds investment style.

We apply some restrictions to our sample. We only include equity funds with 24 months
of returns as we need sufficient observations to estimate regressions. We limit our
sample to domestic funds as we only consider funds that invest nationally. We exclude
the following categories of funds: funds that invest in non-equity components such as
convertible debt, funds that invest in international equity, bond and money market
funds, index tracking funds, and sector funds (e.g. technology or health care). To
address the problem of survivorship bias (see Elton et al. (1996), Elton et al. (1996b),
and Carhart (1997)) we include discontinued funds in our sample until they disappear,
then portfolios are re-weighted accordingly.

B. Descriptive Statistics

Table 1 shows descriptive statistics for the whole sample. We have included the
countries with the largest market capitalization. The second column of Panel A reports
the number of funds per country, the third column shows the mean returns, the fourth
column presents the average total net assets under management, and the last column
3

shows the number of years since the fund began its operations. Panel B shows summary
statistics for the fund returns distributions. Mutual funds present smaller excess kurtosis
and more positive skewness than the country indices. The negative skewness could be
the result of some stock market crash during the sample period.

The US includes the largest amount of funds registered with 6,501, and Hong Kong has
the lowest number of funds with 14. Raw returns range from -1.08% for Sweden to
1.01% for Brazil. Total net assets under management vary from 13 million for Israel to
2,327 million for the US. See Vidal-Garca et al. (2016) for a study about daily
performance using the same sample of funds.

III. Methodology

A. Mutual Fund Performance Measures

Following the literature on fund performance, we employ the one-factor Capital Asset
Pricing Model, Fama-French (1993) three factor model and Carharts (1997) four-factor
model:

Rpt = pt + 1,pt (RMt -RFt) + pt

(1)

Rpt = pt + 1,pt (RMt -RFt) + 2,pt SMBt + 3,pt HMLt + 4,pt MOMt + pt

(2)

Rpt = pt + 1,pt (RMt -RFt) + 2,pt SMBt + 3,pt HMLt + 4,pt MOMt + pt

(3)

where Rpt is the return on fund p for month t, RMt represents the market return and RFt
the risk-free rate, SMBt , HMLt and MOMt are returns on factor-mimicking portfolios
for size, book-to-market equity, and momentum in stock returns, and pt represents the
residual from the regression. Similar to Dimson (1979), we add lagged estimations of
the four factors to solve the problem of infrequent trading of stocks. We use Newey and
West (1987) heteroskedasticity and autocorrelation consistent estimator of the standard
deviation to estimate funds t-statistics.

For funds investing abroad, as Bekaert et al. (2009) and Ferreira et al. (2012) we
consider regions instead of countries in our methodology to risk adjustment. We
estimate the value-weighted average for all countries investing in the region. The
4

investment region is determined following Lipper geographic criteria. We consider five

regions: Asia-Pacific, Europe, Emerging Markets, North America, and the World. We
estimate factors for each region as value-weighted averages for the countries in a region.

B. Market Timing

Market timing means the investments considering the short-term returns reactions to
different factors like company information, market news, and macroeconomic trends.
This section explains the measurement methods to estimate market timing skills:

We use Treynor and Mazuy (1996) regression to measure market timing:

rp,t = p + p rm,t + p r2m,t + p,t

(4)

where rp,t represents the excess return on a fund at day t, rm,t is the excess return on the
market, and p measures the timing skills.
Henriksson and Merton (1981) develop a new technique to examine market timing
ability. In their methodology design the fund manager invest in equities or cash based
on predictions of the market return, then the manager chooses among a small number of
market exposure levels. We use the following equation:
rp,t = p + p rm,t + p r*m,t + p,t

(5)

r*m,t = {rm,t > 0} rm,t

(6)

where

{rm,t > 0} is a indicator function equal to one if rm,t is positive and zero otherwise. p in
equation (6) is positive for a fund with timing ability.

Grinblatt and Titman (1994) show that results from performance measurement tests
depend on the benchmark used in the estimation; we include Fama and French (1993)

size and book-to-market factors and Carharts (1997) momentum factor in equations (4)
and (5). The four-factor Treynor and Mazuy model is estimated as:

rp,t = p +

p,i ri,t + p r2m,t + p,t

(7)

and the four-factor Henriksson and Merton as:

p,i ri,t + p r*m,t + p,t

rp,t = p +

(8)

We also include lagged values of the factors in the regressions to address the issue of
infrequent trading as suggested by Scholes and Williams (1977).

C. Fund Size Effect

To examine whether the asset under management of mutual funds have any effect on the
managers skill to choose stocks we use the total net assets of each fund as a measure
for the fund size. We examine the null hypothesis of economies of scale evaluating the
stock picking skills of an equally-weighted portfolio and a value-weighted portfolio.

Assumption 1:

where

>

and

(total net assets have an impact on stock picking skills)

indicate the estimations of stock picking skills of an equally-

weighted portfolio and a value-weighted portfolio, respectively. We also analyze the

market timing skills of a value-weighted portfolio and an equally-weighted portfolio:

Assumption 2:

where

>

and

(total net assets have an impact on market timing skills)

indicate the estimations of market timing skills of a value-

weighted portfolio and an equally-weighted portfolio, respectively.

D. Bootstrap Evaluation

As explained by Lo and MacKinlay (1990) and Sullivan, Timmermann, and White

(1999) some funds will exhibit significant timing ability by random chance. Another
issue affecting the cross-sectional distribution of market timing estimations are the finite
sample property of the test statistics and the identically and independently distributed
(i.i.d.) assumption across the sample. Fund betas might be correlated as well as the
timing measures, thus the t-statistics are not i.i.d. across the sample of funds. The crosssectional statistics might present finite sample distributions which are different from
their asymptotic counterparts. To solve these problems, we implement a bootstrapping
methodology similar to Kosowski et. al. (2006) and Jiang, Yao, and Yu (2007).

First, we estimate a Carhart regression for individual funds. Then, we record the values
of the alpha, beta, and the residuals for each fund. We create bootstrapped fund returns
from random returns from the model keeping the residual fixed. The timing measures
are obtained from the bootstrapped fund returns. This technique allows for a fixed
covariance matrix of returns under the null hypothesis of no market timing ability. We
repeat the simulations for each fund. The simulation run for a fund involves the same
number of days as the number of days or returns.

IV. Results

A. Mutual Fund Performance

In this section, we examine whether there are diseconomies of scale in the mutual fund
industry and the influence of fund size in performance and market timing. We employ
both time-series and cross-sectional regression methodology. We also examine whether
fund characteristics can explain diseconomies of scale, and we show evidence for this
hypothesis.

Table 2 shows the alpha estimations for our sample divided in five mutual fund size
quintiles based on the average market capitalization of funds over the period 1990 to
2015. We rebalance the portfolios monthly. Overall, funds in the smallest quintile
present better performance than funds in the largest one. We present the results for the
7

Carhart model, we have also used CAPM and Fama-French and they provide
qualitatively similar results, we omit the tables for brevity. Concretely, funds in the
largest quintile underperform funds in the smallest quintile ranging from by 0.2 basis
points for Germany to 46.9 basis points for India (significance at the 1% level). Our
results are similar to those presented by other studies using monthly returns as Chen et
al. (2004), Yan (2008), and Busse et al. (2016).

We perform a robustness analysis to confirm our initial results, we examine whether the
performance results persist using fund gross returns, we add expenses ratios to net
returns. The alpha difference between the bottom and top quintiles is smaller when we
use gross fund returns, this is due to small funds having larger expense rations than
large funds. In conclusion, we confirm that large funds significantly underperform small
ones.

Next, we examine whether mutual fund size can explain mutual fund performance. We
employ a cross-sectional regression methodology, we control for variables affecting
fund performance to better observe the fund size effect. If there were fund diseconomies
of scale fund size would be significantly negative. Table 3 shows the estimation results,
in Panel A, similar to other studies (see Busse et al. (2016)), fund size (TNA) presents a
significantly negative coefficient at the 5% level using both net returns and Carhart
alphas as dependent variables. Thus there is robust evidence that funds in our sample
show diminishing returns to scale. In Panels B and C we examine whether our evidence
is robust and we control for several fund characteristics commonly used in the finance
literature, the coefficients of fund size remain negative and significant, at least at the 5%
level, after controlling for these fund variables. As for the control variables, only fund
age and family total net assets influence fund performance, these fund characteristics
are significant for most countries in both Carhart alphas and net returns regressions.
Consequently, our study of mutual fund performance and fund size confirms the
evidence that total net assets value influence fund performance.

B. Market Timing

In this section we create equally-weighted portfolios, in addition to our value-weighted

portfolios employed in previous analysis, including all existing funds in each country to
examine the market timing and stock picking skills of these funds.

Table 4 shows the results from Treynor and Mazuy model, equally-weighted portfolios
are presented in Panel A, while value-weighted are reported in Panel B. Stock picking
ability (p) of fund managers is significantly positive (at the 5% level) across countries,
although it is close to zero in all cases. Brazil is the country whose fund managers are
less able, on average, to pick outperforming stocks while Japanese fund managers are
the most skilful (see second column of Panel A). Market timing ability (p) is negative
and significant for all countries in both panels; it ranges from Indonesia with the lowest
market timing performance to Belgium, whose fund managers are the most able to
anticipate the stock market trend (see fourth column of Panel A). From coefficient p,
we can state that mutual fund managers are, in general, conservative in selecting the
sectors where they invest, specially the smallest funds (see the third column of Panel B).
The coefficients of adjusted R-square are large, which indicates the significance of the
regressions.

Table 5 presents the results from the Merton and Henriksson model using both equallyweighted portfolios (Panel A) and value-weighted ones (Panel B). As in the Treynor
and Mazuy model, stock picking ability (p) presents estimates close to zero, although
all countries are significantly positive (at the 5%). Market timing ability (p)
coefficients are also qualitatively similar to the ones obtained in the previous model,
negative and significant, although the results from the Merton and Henriksson
regressions are considerably more positive. In this case, Brazil is the bottom country
and United Kingdom the top one in terms of stock picking (see second column of Panel
A), while Indonesia is the bottom country and Belgium the top one for stock picking
(see fourth column of Panel A). We also detect conservative investment behaviour for
fund managers in general, as betas (p) show low values, confirming earlier results that
smaller funds present lower betas (see the third column of Panel B). Adjusted R-squares
are also high denoting the overall significance of the regressions.

Table 6 examines the fund size effect for both market timing models. There is a
negative fund effect on stock picking ability (p) on both models, which means that the
smallest funds show greater stock picking ability than bigger funds. Instead, market
timing ability (p) shows a larger positive size effect also on both models, indicating
that the biggest funds are more able to time the market. Therefore, we can confirm from
market timing models a significant fund size effect on both management abilities,
especially in the market timing one.

V. Conclusion

In this article, we examine the relation between short-term mutual fund performance
and fund size around the world. Using a large sample of worldwide equity funds we
show that small funds outperform large funds, suggesting diseconomies of scale for the
mutual fund industry across countries.

We evaluate whether mutual fund size can explain fund performance. Controlling for
variables affecting fund performance to better observe the fund size effect, we find that
fund size shows a significantly negative coefficient using both net returns and Carhart
alphas as dependent variables, confirming the evidence that funds show diminishing
returns to scale. Next, we examine whether fund managers show stock picking and
market timing abilities. We find evidence of a negative fund effect on stock picking
ability, which indicates that the smallest funds have superior stock picking skills
compared to bigger funds. In contrast, market timing ability exhibits positive size effect,
suggesting that the largest the size of the fund, the greater the fund managers skills to
accurately anticipate the market fluctuations.

Although a few leading fund management companies own most of the industry assets,
our study suggest that small funds exist and might have great opportunities to prosper.
While small funds are not as competitive in terms of expenses as the big funds, they can
compensate this disadvantage offering larger average returns.

Our evidence shows the evolution of mutual funds as a function of their size. Small
funds that show larger returns and high values for their alphas increase their size as their
outperformance attracts cash inflows. As funds increase their asset under management
10

their expense ratios tend to increase. Therefore, the probability to outperform is

reduced. Thus, our results confirm a fund life cycle from low expenses and high returns
for small funds to high expenses and lower returns for large funds. This transition is the
result of the lack of incentives for funds to achieve an optimal fund size as money
inflows increase the market capitalization.

11

APPENDIX: Calculation of international factors of fund performance

We construct the benchmark factors for each country (except U.S.) using all stocks
included in the Worldscope database. Our regions are Europe, Asia-Pacific, North
America, Emerging Markets, and World. The market factor for each region is
constructed using the value-weighted average return of all countries market returns in
the region. The market return for each country is constructed using the value-weighted
average return in local currency of all stocks in each country.

We follow the methodology of Fama and French (1993) to create the size and book-tomarket equity portfolios. For each country, we estimate the Fama-French factors using 6
value-weight portfolios formed on size and book-to-market. The SMB (Small Minus
Big) factor is the average return on the three small portfolios minus the average return
on the three big portfolios:

SMB = 1/3(Small Value + Small Neutral + Small Growth) - 1/3(Big Value + Big
Neutral + Big Growth)

The HML (High Minus Low) factor is the average return on the two value portfolios
minus the average return on the two growth portfolios:

HML = 1/2(Small Value + Big Value) - 1/2(Small Growth + Big Growth)

The investment region SMB and HML factors are the monthly value-weighted average
of all countries factors in the region. The size breakpoint is the median market
capitalization of each country as of the end of June of year t. Half of the firms are
classified as small market capitalization and the other half as big market capitalization.
For the book-to-market equity classification, the breakpoints are the 30th and 70th
percentiles of book-to-market equity in each country as of the fiscal year in t - 1. The
bottom 30% is designated as the value portfolio, the middle 40% as neutral, and the
highest 30% as growth

We calculate the Momentum factor (MOM) using six value-weight portfolios formed on
size and prior (2-12) returns. The portfolios, which are formed monthly, are the
12

intersections of 2 portfolios formed on size (market equity, ME) and 3 portfolios formed
on prior (2-12) return. The monthly size breakpoint is the median market equity in each
country. The monthly prior (2-12) return breakpoints are the 30th and 70th percentiles in
each country. The MOM factor is the monthly average return in local currency on the
two high-prior return portfolios minus the monthly average return on the two low-prior
return portfolios:

MOM = 1/2(Small High + Big High) - 1/2(Small Low + Big Low)

The investment region MOM factor is the monthly value-weighted average of all
countries factors in the region.

13

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16

Tables and Figures

Table 1: Summary statistics
Panel A: Descriptive statistics
Panel A presents descriptive statistics on our sample of mutual funds. The sample period: January-1990 to
December-2015. The first column presents the number of actively managed equity mutual funds for each
country. Raw Return presents the average daily fund return over the entire period of study. TNA is the
total net assets under management and is expressed in millions of dollars. Fund age is the number of years
since the fund was created.

Country

Number of Funds

Raw Return (%)

TNA ($ million)

Fund Age (years)

Australia
Austria
Belgium
Brazil
Canada
Chile
China
Denmark
Finland
France
Germany
Hong Kong
India
Indonesia
Ireland
Israel
Italy
Japan
Korea (South)
Luxembourg
Malaysia
Netherlands
New Zealand
Norway
Poland
Portugal
Singapore
South Africa
Spain
Sweden
Switzerland
Taiwan
Thailand
U.K.
U.S.

964
20
30
97
990
57
578
63
49
975
80
14
479
109
33
163
66
1000
1053
17
203
28
20
109
78
23
19
270
145
191
197
247
237
982
6,501

0.803
-0.039
0.032
1.007
0.141
-0.198
-0.572
0.378
0.063
0.129
-0.098
-0.810
0.844
0.281
0.278
0.063
0.159
-1.023
-0.127
-0.333
0.101
-0.355
0.412
0.021
-0.810
-0.139
-0.467
-0.483
-0.446
-1.077
-0.774
0.649
0.371
-0.306
0.146

238
167
98
117
407
51
347
114
158
87
629
561
99
112
101
13
145
95
85
498
85
273
154
228
114
18
146
148
43
455
300
57
66
797
2,327

13
11
17
9
10
9
4
12
13
11
16
13
8
5
4
12
15
12
6
14
13
15
9
15
7
15
14
9
16
11
8
14
11
13
12

All Countries

16,085

-0.062

267

11

17

Panel B: Daily statistics

Panel B shows summary statistics of the fund return distributions. The mean ( ) and standard deviation
( ) are sample estimates. Skewness (S) is estimated as
1

S=

K=

=1( - )3

and excess kurtosis (K) is estimated as

Australia
Austria
Belgium
Brazil
Canada
Chile
China
Denmark
Finland
France
Germany
Hong Kong
India
Indonesia
Ireland
Israel
Italy
Japan
Korea (South)
Luxembourg
Malaysia
Netherlands
New Zealand
Norway
Poland
Portugal
Singapore
South Africa
Spain
Sweden
Switzerland
Taiwan
Thailand
U.K.
U.S.

=1( - )4 3

Daily

Monthly

Daily

Monthly

Daily

S
Monthly

Daily

K
Monthly

0.803%
-0.039%
0.032%
1.007%
0.141%
-0.198%
-0.572%
0.378%
0.063%
0.129%
-0.098%
-0.810%
0.844%
0.281%
0.278%
0.063%
0.159%
-1.023%
-0.127%
-0.333%
0.101%
-0.355%
0.412%
0.021%
-0.810%
-0.139%
-0.467%
-0.483%
-0.446%
-1.077%
-0.774%
0.649%
0.371%
-0.306%
0.146%

1.198%
-0.044%
0.048%
1.502%
0.210%
-0.123%
-0.334%
0.564%
0.094%
0.185%
-0.017%
-0.657%
1.123%
0.324%
0.322%
0.234%
0.328%
-0.975%
-0.078%
-0.231%
0.211%
-0.134%
0.745%
0.064%
-0.654%
-0.321%
-0.233%
-0.211%
-0.208%
-0.544%
-0.345%
0.111%
0.723%
-0.567%
0.222%

0.236%
0.108%
0.289%
0.805%
0.393%
0.551%
0.593%
1.052%
0.175%
0.359%
0.654%
1.222%
1.351%
0.782%
0.774%
0.175%
0.765%
1.023%
0.827%
0.927%
0.281%
0.815%
1.147%
0.358%
1.256%
0.387%
1.312%
1.345%
1.242%
1.123%
1.155%
0.807%
1.033%
0.896%
0.408%

1.817%
0.831%
2.225%
6.198%
3.026%
4.242%
4.566%
8.100%
1.347%
2.765%
3.023%
9.409%
7.402%
6.021%
5.959%
1.347%
3.234%
7.877%
6.367%
7.137%
2.163%
4.345%
8.8315
2.756%
9.671%
2.979%
8.102%
8.356%
9.563%
8.647%
8.893%
6.213%
7.954%
4.967%
3.141%

-1.345
-1.002
-1.435
-2.567
-1.744
-1.877
-1.934
-2.667
-0.674
-1.667
-2.208
-3.452
-2.453
-2.456
-2.156
-0.865
-2.345
-3.456
-2.345
-2.277
-1.445
-2.345
-3.456
-1.556
-2.451
-1.776
-2.456
-2.311
-2.045
-3.324
-3.567
-2.867
-3.567
-2.765
-1.967

-1.094
-0.945
-1.234
-2.112
-1.234
-1.466
-1.645
-2.277
-0.511
-1.206
-1.576
-2.944
-2.123
-2.034
-1.786
-0.523
-1.667
-2.865
-1.897
-1.867
-1.112
-1.094
-2.987
-1.123
-1.956
-1.567
-2.034
-1.945
-1.945
-2.456
-3.123
-2.455
-3.112
-1.345
-1.765

38.453
34.234
38.442
45.112
46.123
48.111
42.341
43.234
28.332
42.671
39.567
49.342
52.345
49.343
51.343
38.453
47.334
49.453
53.232
52.566
46.453
48.445
54.342
41.233
45.533
43.233
49.522
51.234
47.666
52.345
54.299
45.232
46.663
49.566
45.211

7.234
6.765
7.432
9.342
8.423
7.232
6.232
6.322
6.322
8.331
7.673
4.622
3.954
6.421
5.753
4.975
5.345
5.322
6.453
5.776
6.422
5.678
5.432
5.673
6.422
5.422
6.411
5.422
6.542
3.854
3.976
4.123
4.563
5.667
4.012

18

Table 2: Relation between fund size and fund performance

The table examines the relationship between fund size and fund performance using a time-series portfolio
methodology. We first sort all funds into quintiles each month based on their previous-month total net
assets and estimate equal-weighted daily returns for each fund size quintile. We then use the Carhart fourfactor model to evaluate performance of each fund size quintile and the performance differences between
the largest and smallest quintiles. Statistical significance is based on bootstrap standard errors. Statistical
significance of 1%, 5%, and 10% is indicated by ***, **, and * respectively.

Australia
Austria
Belgium
Brazil
Canada
Chile
China
Denmark
Finland
France
Germany
Hong Kong
India
Indonesia
Ireland
Israel
Italy
Japan
Korea (South)
Luxembourg
Malaysia
Netherlands
New Zealand
Norway
Poland
Portugal
Singapore
South Africa
Spain
Sweden
Switzerland
Taiwan
Thailand
U.K.
U.S.

Mutual fund size quintile

3
4

1 (small)

0.861*
0.023*
0.223*
0.979**
0.610**
-0.067***
-0.213**
0.796*
0.078**
0.545**
-0.065**
-0.234*
0.925**
0.653**
0.628*
0.048**
0.541**
-0.145*
0.156**
0.267*
0.378**
-0.641**
0.794**
0.254**
-0.210**
-0.089**
-0.122**
-0.078**
-0.067**
-0.122**
-0.123*
0.696***
0.764**
-0.077**
0.489*

0.855***
0.016**
0.212***
0.971***
0.591***
-0.152***
-0.532***
0.789**
0.048***
0.501***
-0.080**
-0.543***
0.904***
0.648***
0.614**
0.048***
0.522***
-0.671***
0.121***
0.196***
0.324***
-0.622***
0.782***
0.245***
-0.727***
-0.174***
-0.393***
-0.393***
-0.287***
-0.748***
-0.645***
0.680***
0.725***
-0.261***
0.462***

0.815***
0.016**
0.198***
0.892***
0.538***
-0.160***
-0.566***
0.776***
0.047***
0.482***
-0.087***
-0.576***
0.877***
0.625***
0.586***
0.045***
0.507***
-0.712**
0.117***
0.188***
0.316***
-0.675***
0.736***
0.235***
-0.751***
-0.182***
-0.391***
-0.421***
-0.305***
-0.822***
-0.717***
0.643***
0.698***
-0.274***
0.448***

19

0.815***
0.014**
0.195***
0.856***
0.489***
-0.154***
-0.566***
0.754***
0.044***
0.467***
-0.078***
-0.554***
0.745***
0.611***
0.556***
0.043***
0.478***
-0.712**
0.108***
0.167***
0.289***
-0.609***
0.728***
0.225***
-0.721***
-0.167***
-0.367***
-0.413***
-0.278***
-0.711***
-0.655***
0.567***
0.667***
-0.256***
0.422***

5 (large)

Difference
1-5

0.815***
0.014**
0.178***
0.678***
0.435***
-0.109***
-0.566***
0.511***
0.038***
0.280***
-0.067***
-0.378***
0.456***
0.311***
0.233***
0.023***
0.267***
-0.712**
0.078***
0.123***
0.189***
-0.478***
0.543***
0.178***
-0.477***
-0.153***
-0.277***
-0.245***
-0.167***
-0.523***
-0.345***
0.312***
0.378***
-0.208***
0.233***

0.046***
0.009***
0.045***
0.301***
0.175***
0.042***
0.353***
0.285***
0.044***
0.265***
0.002***
0.144***
0.469***
0.342***
0.395***
0.025***
0.274***
0.567**
0.078***
0.144***
0.189***
-0.163***
0.251***
0.076***
0.267***
0.064***
0.155***
0.167***
0.145***
0.401***
0.222***
0.384***
0.386***
0.131***
0.256***

Table 3: Fund size and fund performance: Cross-sectional regression approach

The table reports the Carhart estimation results of daily fund returns regressed on fund total net assets in
Panel A, and other control variables in Panels B and C. The dependent variable is fund performance as
measured by net return, and 4-factor alpha. All independent variables are defined as follows and lagged
by one day: TNA is the total net assets under management. Fund Age is the age of the primary share class
of the fund. Daily Expense Ratio is calculated as dividing the year-end average expense ratio by 365.
Fund Flow is the average net growth in fund assets beyond reinvested dividends. Fund Turnover is the
average turnover ratio across all funds. Family TNA is estimated as the sum of the total assets under
management of all the funds in an investment style as defined by Morningstar Direct. Statistical
significance is based on bootstrap standard errors. Statistical significance of 1%, 5%, and 10% is
indicated by ***, **, and * respectively.

Panel A: Fund total net assets on net returns and 4-factor alphas
4-factor Alpha
Log TNA
R-squared
Australia
Austria
Belgium
Brazil
Canada
Chile
China
Denmark
Finland
France
Germany
Hong Kong
India
Indonesia
Ireland
Israel
Italy
Japan
Korea (South)
Luxembourg
Malaysia
Netherlands
New Zealand
Norway
Poland
Portugal
Singapore
South Africa
Spain
Sweden
Switzerland
Taiwan
Thailand
U.K.
U.S.

-0.054***
-0.067***
-0.089***
-0.078**
-0.089***
-0.123***
-0.076***
-0.089***
-0.234**
-0.078**
-0.089***
-0.088***
-0.077**
-0.122***
-0.067**
-0.088**
-0.078***
-0.078***
-0.156***
-0.213***
-0.078***
-0.076***
-0.078**
-0.065***
-0.077**
-0.069**
-0.045***
-0.076**
-0.099***
-0.076**
-0.089***
-0.076***
-0.087**
-0.089***
-0.071***

0.067
0.058
0.067
0.043
0.012
0.056
0.021
0.044
0.099
0.052
0.062
0.080
0.054
0.069
0.051
0.098
0.043
0.054
0.062
0.042
0.023
0.034
0.031
0.043
0.055
0.098
0.032
0.016
0.018
0.021
0.017
0.087
0.018
0.019
0.071

20

Net Return
Log TNA
R-squared
-0.084***
-0.076***
-0.078***
-0.096***
-0.080***
-0.167***
-0.087***
-0.088***
-0.234***
-0.098**
-0.104***
-0.120***
-0.087**
-0.128**
-0.087***
-0.245***
-0.169***
-0.087***
-0.123***
-0.178***
-0.098***
-0.107***
-0.089**
-0.066***
-0.067***
-0.078**
-0.089**
-0.072***
-0.109***
-0.112**
-0.097***
-0.111***
-0.084**
-0.067***
-0.076***

0.076
0.078
0.067
0.059
0.032
0.049
0.039
0.051
0.084
0.067
0.034
0.023
0.055
0.067
0.027
0.067
0.054
0.034
0.022
0.056
0.026
0.019
0.034
0.045
0.065
0.034
0.056
0.022
0.045
0.033
0.029
0.045
0.055
0.032
0.065

Panel B: Control variables on 4-factor alphas

4-factor Alpha
Log TNA

Australia

-0.103***
Austria
-0.123***
Belgium
-0.156***
Brazil
-0.127**
Canada
-0.178***
Chile
-0.206***
China
-0.156***
Denmark
-0.134***
Finland
-0.556**
France
-0.154**
Germany
-0.165***
Hong Kong
-0.175***
India
-0.145***
Indonesia
-0.244**
Ireland
-0.143***
Israel
-0.833***
Italy
-0.163***
Japan
-0.133***
Korea (South) -0.276***
Luxembourg
-0.345**
Malaysia
-0.145***
Netherlands
-0.176***
New Zealand
-0.153**
Norway
-0.154***
Poland
-0.134**
Portugal
-0.156**
Singapore
-0.134***
South Africa
-0.144**
Spain
-0.171***
Sweden
-0.145**
Switzerland
-0.165***
Taiwan
-0.123***
Thailand
-0.143**
U.K.
-0.156***
U.S.
-0.134***

Expense Ratio

Fund Turnover

Fund Flow

Log Fund Age

Log Family TNA

R-squared

-0.112
-0.187
-0.177
-0.199
-0.345
-0.234
-0.187
-0.098
-0.433
-0.245
-0.167
-0.177
-0.199
-0.167
-0.188
-0.213
-0.233
-0.189
-0.188
-0.145
-0.177
-0.199
-0.213
-0.166
-0.187
-0.188
-0.234
-0.255
-0.167
-0.177
-0.167
-0.188
-0.198
-0.145
-0.176

-0.009
-0.012
-0.017
-0.009
-0.018
-0.006
-0.004
-0.019
-0.045
-0.028
-0.098
-0.077
-0.067
-0.112
-0.078
-0.098
-0.033
-0.056
-0.088
-0.078
-0.098
-0.123
-0.111
-0.067
-0.167
-0.056
-0.088
-0.256
-0.078
-0.089
-0.025
-0.077
-0.045
-0.027
-0.066

0.023
0.020
0.014
0.009
0.034
0.005
0.017
0.045
0.110
0.006
0.007
0.034
0.045
0.115
0.045
0.005
0.011
0.012
0.022
0.017
0.012
0.067
0.011
0.122
0.034
0.078
0.044
0.123
0.167
0.078
0.044
0.112
0.056
0.067
0.112

0.089*
0.045**
0.034*
0.056
0.022*
0.018**
0.009
0.055***
0.034*
0.088**
0.023*
0.012**
0.009**
0.067**
0.034**
0.067**
0.055**
0.023*
0.009**
0.012*
0.066**
0.045*
0.012**
0.034***
0.045**
0.022**
0.033**
0.009**
0.055**
0.034*
0.134**
0.056**
0.008*
0.056**
0.077*

0.033**
0.013**
0.022*
0.045
0.033*
0.123**
0.033***
0.056**
0.022*
0.045**
0.145**
0.033
0.054**
0.021**
0.033***
0.066**
0.016**
0.022*
0.027***
0.056***
0.033*
0.023
0.123**
0.045*
0.031**
0.067**
0.022**
0.045**
0.156**
0.034**
0.067**
0.056**
0.178**
0.012*
0.178**

0.189
0.176
0.194
0.154
0.129
0.177
0.134
0.165
0.111
0.123
0.187
0.134
0.187
0.122
0.109
0.118
0.167
0.178
0.128
0.136
0.142
0.156
0.121
0.167
0.178
0.214
0.145
0.127
0.121
0.133
0.123
0.198
0.234
0.213
0.189

21

Panel C: Control variables on net returns

Net Return
Log TNA

Australia

-0.112**
Austria
-0.679***
Belgium
-0.178***
Brazil
-0.189***
Canada
-0.198***
Chile
-0.245***
China
-0.178***
Denmark
-0.178***
Finland
-0.589***
France
-0.189**
Germany
-0.189***
Hong Kong
-0.199**
India
-0.167***
Indonesia
-0.249***
Ireland
-0.148***
Israel
-0.289***
Italy
-0.169**
Japan
-0.178***
Korea (South) -0.279***
Luxembourg
-0.389***
Malaysia
-0.198***
Netherlands
-0.213***
New Zealand
-0.167**
Norway
-0.178***
Poland
-0.188**
Portugal
-0.176**
Singapore
-0.155***
South Africa
-0.176**
Spain
-0.195***
Sweden
-0.187**
Switzerland
-0.185***
Taiwan
-0.179***
Thailand
-0.154**
U.K.
-0.167***
U.S.
-0.155***

Expense Ratio

Fund Turnover

Fund Flow

Log Fund Age

-0.107
-0.167
-0.165
-0.165
-0.334
-0.222
-0.165
-0.065
-0.355
-0.223
-0.145
-0.160
-0.144
-0.123
-0.175
-0.178
-0.211
-0.134
-0.122
-0.111
-0.122
-0.123
-0.177
-0.133
-0.135
-0.144
-0.213
-0.234
-0.143
-0.145
-0.156
-0.145
-0.178
-0.123
-0.134

-0.009
-0.015
-0.019
-0.066
-0.019
-0.011
-0.004
-0.022
-0.048
-0.028
-0.099
-0.089
-0.067
-0.145
-0.079
-0.098
-0.038
-0.059
-0.097
-0.085
-0.123
-0.128
-0.119
-0.074
-0.175
-0.058
-0.091
-0.258
-0.089
-0.093
-0.033
-0.079
-0.049
-0.032
-0.075

0.029
0.028
0.019
0.016
0.042
0.011
0.021
0.049
0.118
0.022
0.016
0.039
0.054
0.123
0.056
0.012
0.017
0.018
0.023
0.024
0.017
0.073
0.018
0.128
0.039
0.081
0.049
0.128
0.173
0.084
0.053
0.119
0.0667
0.072
0.122

0.091**
0.047*
0.038**
0.059
0.029**
0.034**
0.023
0.059***
0.038**
0.097**
0.034*
0.023***
0.017**
0.069**
0.043**
0.069**
0.063*
0.034*
0.023**
0.018*
0.076**
0.054*
0.018**
0.049**
0.054**
0.029**
0.045**
0.020**
0.065**
0.039**
0.145**
0.058**
0.011*
0.059**
0.085*

22

Log Family TNA R-squared

0.038**
0.019***
0.029**
0.054*
0.037**
0.127**
0.042**
0.059**
0.027**
0.049**
0.148***
0.038*
0.059**
0.026*
0.037***
0.068***
0.019**
0.028**
0.029***
0.059***
0.037**
0.034
0.132**
0.047*
0.038**
0.078***
0.029**
0.048*
0.167**
0.045**
0.076**
0.067***
0.188*
0.017*
0.189**

0.193
0.178
0.197
0.159
0.132
0.179
0.139
0.171
0.115
0.126
0.191
0.139
0.192
0.126
0.114
0.123
0.174
0.184
0.134
0.144
0.148
0.157
0.128
0.173
0.183
0.224
0.148
0.131
0.128
0.138
0.127
0.210
0.237
0.218
0.210

Table 4: Treynor and Mazuy model

This table shows the market timing (p), stock picking (p) ability estimates, and systematic risk
estimates (p) obtained from Treynor and Mazuy model. Panel A presents the equally-weighted
portfolios, and Panel B presents the value-weighted portfolios. Statistical significance is based on
bootstrap standard errors. Statistical significance of 1%, 5%, and 10% is indicated by ***, **, and *
respectively.

Panel A: Equally-weighted portfolios

p
Australia
Austria
Belgium
Brazil
Canada
Chile
China
Denmark
Finland
France
Germany
Hong Kong
India
Indonesia
Ireland
Israel
Italy
Japan
Korea (South)
Luxembourg
Malaysia
Netherlands
New Zealand
Norway
Poland
Portugal
Singapore
South Africa
Spain
Sweden
Switzerland
Taiwan
Thailand
U.K.
U.S.

0.029***
0.038***
0.042***
0.025**
0.064***
0.039**
0.061***
0.051***
0.052***
0.069***
0.075***
0.045***
0.067***
0.045***
0.052***
0.054***
0.066***
0.084**
0.054***
0.039***
0.048***
0.042***
0.072***
0.078***
0.027***
0.042***
0.061***
0.042***
0.047***
0.041***
0.042***
0.058***
0.048***
0.061***
0.056***

Equally-weighted portfolio
p
p
0.435***
0.532**
0.386***
0.534***
0.335***
0.520***
0.478***
0.410***
0.367***
0.510***
0.388***
0.399***
0.387***
0.478***
0.377**
0.510***
0.321***
0.487***
0.490***
0.289***
0.423***
0.477***
0.489***
0.345***
0.321***
0.510**
0.476***
0.434**
0.388**
0.420***
0.378**
0.289**
0.321***
0.389***
0.322***

23

-0.586***
-0.476***
-0.654***
-0.435***
-0.532***
-0.509**
-0.423***
-0.345***
-0.587***
-0.432**
-0.433***
-0.412***
-0.344***
-0.329***
-0.498***
-0.554***
-0.610***
-0.554***
-0.422***
-0.378***
-0.509***
-0.533**
-0.532***
-0.509***
-0.388***
-0.389***
-0.412***
-0.430***
-0.433***
-0.418***
-0.389***
-0.378***
-0.420***
-0.429***
-0.437***

R-squared
74.03
78.34
67.32
72.23
65.56
54.23
87.23
66.77
78.56
76.67
66.55
65.44
78.23
77.34
71.21
66.56
75.45
75.45
70.34
67.45
78.55
71.23
70.45
74.56
76.45
76.34
72.45
78.45
75.45
67.99
76.45
87.55
67.45
78.89
77.67

Panel B: Value-weighted portfolios

p
Australia
Austria
Belgium
Brazil
Canada
Chile
China
Denmark
Finland
France
Germany
Hong Kong
India
Indonesia
Ireland
Israel
Italy
Japan
Korea (South)
Luxembourg
Malaysia
Netherlands
New Zealand
Norway
Poland
Portugal
Singapore
South Africa
Spain
Sweden
Switzerland
Taiwan
Thailand
U.K.
U.S.

0.018***
0.023***
0.028***
0.012***
0.056***
0.029***
0.045***
0.033**
0.045***
0.049***
0.061***
0.034***
0.045***
0.029***
0.037***
0.042***
0.045***
0.073***
0.034***
0.027***
0.032***
0.027***
0.056**
0.067***
0.019***
0.028***
0.044***
0.023**
0.036***
0.022***
0.021***
0.045***
0.033***
0.040***
0.037***

Value-weighted portfolio
p
p
0.385***
0.420***
0.304**
0.432***
0.287**
0.456***
0.408***
0.345***
0.323***
0.423***
0.322***
0.312***
0.323***
0.412***
0.333***
0.410**
0.280***
0.406***
0.423***
0.221***
0.345***
0.345***
0.378***
0.243***
0.243***
0.373***
0.344**
0.332***
0.356**
0.289***
0.322**
0.267**
0.276***
0.365***
0.265***

24

-0.412**
-0.356***
-0.510***
-0.305***
-0.387**
-0.438***
-0.320***
-0.288**
-0.430***
-0.322***
-0.307***
-0.300***
-0.288***
-0.210***
-0.423**
-0.387***
-0.460***
-0.410***
-0.310***
-0.298***
-0.377***
-0.416***
-0.410***
-0.380***
-0.290***
-0.307***
-0.320***
-0.378***
-0.321***
-0.321***
-0.279***
-0.260***
-0.322***
-0.378***
-0.321***

R-squared
72.07
73.39
66.30
70.20
63.56
52.20
85.12
63.75
76.34
72.34
63.50
62.32
74.20
76.22
68.12
60.56
71.75
71.85
67.84
64.23
72.75
68.11
64.12
71.22
72.15
72.23
69.12
75.25
72.12
64.45
72.34
84.34
64.23
72.12
74.12

Table 5: Merton and Henriksson model

This table shows the market timing (p), stock picking (p) ability estimates, and systematic risk
estimates (p) obtained from Merton and Henriksson model. Panel A presents the equally-weighted
portfolios, and Panel B presents the value-weighted portfolios. Statistical significance is based on
bootstrap standard errors. Statistical significance of 1%, 5%, and 10% is indicated by ***, **, and *
respectively.

Panel A: Equally-weighted portfolios

p
Australia
Austria
Belgium
Brazil
Canada
Chile
China
Denmark
Finland
France
Germany
Hong Kong
India
Indonesia
Ireland
Israel
Italy
Japan
Korea (South)
Luxembourg
Malaysia
Netherlands
New Zealand
Norway
Poland
Portugal
Singapore
South Africa
Spain
Sweden
Switzerland
Taiwan
Thailand
U.K.
U.S.

0.102***
0.089***
0.104***
0.056***
0.078***
0.067***
0.097***
0.078**
0.090***
0.107***
0.120***
0.098***
0.102***
0.089***
0.076***
0.087***
0.088**
0.120***
0.089***
0.087***
0.089***
0.080***
0.124***
0.140***
0.078***
0.089***
0.120***
0.140**
0.089***
0.069**
0.070***
0.104***
0.088***
0.156***
0.087***

Equally-weighted portfolio
p
p
0.498***
0.587***
0.420***
0.598***
0.398**
0.578***
0.510***
0.477***
0.389***
0.578**
0.430***
0.458***
0.438***
0.540***
0.390***
0.545***
0.389***
0.540***
0.510**
0.350***
0.478***
0.540***
0.540***
0.430***
0.388***
0.578**
0.540***
0.488***
0.430**
0.470***
0.458**
0.320**
0.377***
0.437***
0.378***

25

-0.223***
-0.198**
-0.323***
-0.089***
-0.267***
-0.201***
-0.189***
-0.166**
-0.223***
-0.167**
-0.187***
-0.179**
-0.221***
-0.155***
-0.198***
-0.224***
-0.316***
-0.217***
-0.197***
-0.186***
-0.225***
-0.223***
-0.212***
-0.265***
-0.179***
-0.199***
-0.221***
-0.210***
-0.212***
-0.223***
-0.187***
-0.188***
-0.182***
-0.224***
-0.266***

R-squared
74.33
77.37
66.12
69.22
63.55
52.25
85.25
65.70
77.52
76.62
65.50
65.21
76.20
75.89
70.12
66.08
73.34
73.33
69.28
65.40
75.50
69.20
67.40
73.50
74.49
75.30
70.49
77.42
73.34
66.67
75.78
86.50
66.89
75.11
73.96

Panel B: Value-weighted portfolios

p
Australia
Austria
Belgium
Brazil
Canada
Chile
China
Denmark
Finland
France
Germany
Hong Kong
India
Indonesia
Ireland
Israel
Italy
Japan
Korea (South)
Luxembourg
Malaysia
Netherlands
New Zealand
Norway
Poland
Portugal
Singapore
South Africa
Spain
Sweden
Switzerland
Taiwan
Thailand
U.K.
U.S.

0.058***
0.067***
0.060***
0.034***
0.062***
0.033***
0.048***
0.039**
0.049***
0.056***
0.069***
0.045***
0.049***
0.034***
0.039***
0.048***
0.054**
0.083***
0.039***
0.039***
0.045***
0.039***
0.067***
0.079***
0.036***
0.037***
0.054***
0.036**
0.045***
0.037**
0.035***
0.056***
0.043***
0.049***
0.043***

Value-weighted portfolio
p
p
0.432**
0.481***
0.365***
0.467***
0.334**
0.580**
0.476***
0.378***
0.377***
0.469***
0.367***
0.355***
0.356***
0.467***
0.377***
0.470***
0.340***
0.456***
0.459**
0.267***
0.423***
0.389***
0.432**
0.298***
0.255***
0.432***
0.377***
0.389***
0.388**
0.312***
0.367**
0.356**
0.366***
0.413***
0.344***

26

-0.108***
-0.082**
-0.208***
-0.076**
-0.155***
-0.088***
-0.075***
-0.050***
-0.109***
-0.054***
-0.070***
-0.057**
-0.102***
-0.035***
-0.075***
-0.102***
-0.195***
-0.097***
-0.075***
-0.067***
-0.102***
-0.103***
-0.091***
-0.139***
-0.055***
-0.075***
-0.101***
-0.090***
-0.085***
-0.100***
-0.061***
-0.060***
-0.061***
-0.101***
-0.130***

R-squared
72.06
73.45
62.14
67.08
60.33
51.23
82.00
62.45
73.23
73.33
62.33
61.45
73.55
72.09
69.34
63.33
70.77
71.78
65.45
62.43
72.67
63.34
64.35
68.24
70.34
72.34
68.23
75.22
70.22
64.23
75.88
83.60
63.11
71.44
68.87

Table 6: Comparison of equally-weighted and value-weighted portfolios

This table shows the comparison of the equally-weighted portfolio alphas and gammas with those of the
value-weighted portfolios using Treynor and Mazuy, and Merton and Henriksson models.

Treynor-Mazuy
p
p
Australia
Austria
Belgium
Brazil
Canada
Chile
China
Denmark
Finland
France
Germany
Hong Kong
India
Indonesia
Ireland
Israel
Italy
Japan
Korea (South)
Luxembourg
Malaysia
Netherlands
New Zealand
Norway
Poland
Portugal
Singapore
South Africa
Spain
Sweden
Switzerland
Taiwan
Thailand
U.K.
U.S.

-0.011
-0.015
-0.014
-0.013
-0.008
-0.010
-0.016
-0.018
-0.007
-0.020
-0.014
-0.011
-0.022
-0.016
-0.015
-0.012
-0.021
-0.011
-0.020
-0.012
-0.016
-0.015
-0.016
-0.011
-0.008
-0.014
-0.017
-0.019
-0.011
-0.019
-0.021
-0.013
-0.015
-0.021
-0.019

Merton-Henriksson
p
p

0.174
0.120
0.144
0.130
0.145
0.071
0.103
0.057
0.157
0.110
0.126
0.112
0.056
0.119
0.075
0.167
0.150
0.144
0.112
0.080
0.132
0.117
0.122
0.129
0.098
0.082
0.092
0.052
0.112
0.097
0.110
0.118
0.098
0.051
0.116

27

-0.044
-0.022
-0.044
-0.022
-0.016
-0.034
-0.049
-0.039
-0.041
-0.051
-0.051
-0.053
-0.053
-0.055
-0.037
-0.039
-0.034
-0.037
-0.050
-0.048
-0.044
-0.041
-0.057
-0.061
-0.042
-0.052
-0.066
-0.104
-0.044
-0.032
-0.035
-0.048
-0.045
-0.107
-0.044

0.115
0.116
0.115
0.013
0.112
0.113
0.114
0.116
0.114
0.113
0.117
0.122
0.119
0.120
0.123
0.122
0.121
0.120
0.122
0.119
0.123
0.120
0.121
0.126
0.124
0.124
0.120
0.120
0.127
0.123
0.126
0.128
0.121
0.123
0.136