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Title: Asset allocation and selectivity of asian mutual funds during financial crisis
Authors: Chan, YC 
Cheng, LTW 
Keywords: Asian financial crisis
Asset allocation
Mutual fund performance
Issue Date: 2003
Source: Review of quantitative finance and accounting, 2003, v. 21, no. 3, p. 233-250 How to cite?
Journal: Review of Quantitative Finance and Accounting 
Abstract: This paper evaluates the ability of US-based Asian mutual fund managers in coping with the 1997 Asian financial crisis. We find that the actively managed mutual funds under-perform with respect to the market portfolio by 1.71% in average monthly return. Such poor performance is caused by fund managers' relative weakness in country selection as well as in stock picking. Fund managers are also found to be more skillful in picking the correct market when the market is going up than going down. Our results are consistent with the literature that asset allocation in Asian mutual funds is a dominating factor relative to selectivity in explaining fund returns during the financial crisis. In addition, there exists a negative relation between asset allocation ability and selectivity of fund managers.
ISSN: 0924-865X
DOI: 10.1023/A:1027332313989
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