Beta or duration? Risk-taking by balanced mutual funds in Korea
- Authors
- Park, Keun Woo; Han, Min Yeon; Oh, Ji Yeol Jimmy
- Issue Date
- Mar-2020
- Publisher
- ACADEMIC PRESS INC ELSEVIER SCIENCE
- Keywords
- Hybrid mutual funds; Holding beta; Holding duration; Fund performance
- Citation
- FINANCE RESEARCH LETTERS, v.33, pp.1 - 8
- Indexed
- SSCI
SCOPUS
- Journal Title
- FINANCE RESEARCH LETTERS
- Volume
- 33
- Start Page
- 1
- End Page
- 8
- URI
- https://scholarworks.bwise.kr/hanyang/handle/2021.sw.hanyang/32790
- DOI
- 10.1016/j.frl.2019.07.002
- ISSN
- 1544-6123
- Abstract
- We examine the risk-taking behavior of balanced mandate managers in Korea between 2011 and 2018. Though it is well known that mutual fund managers face risk-taking incentives after poor performance, balanced mandate managers are unique in that they can choose between whether to take risks in either equities and/or bonds. We find that, following poor relative performance, bond-oriented balanced funds increase their systematic exposure to equities, while "reaching for duration" is confined to equity-oriented managers. Managers thus appear to increase risks in an asset category with a relatively lower portfolio weight. Systematic risk-taking attracts inflows but harms risk-adjusted performance.
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