Quel est l'impact du ration de concentration sur la performance des fonds de fonds?

Abstract

Over the past decades mutual funds never stop growing, especially Funds of Funds. Nevertheless it seems that two topics have been put aside for several years: concentration and competition. Even though many authors have finally studied these subjects, the major part especially analysed the relationship between performance and concentration on the mutual fund industry in the United States. Nobody seems to have ever studied this relationship on Funds of Funds.

Therefore this thesis tries at first to give an overview of Funds of Funds which are often mismatched with Funds of Hedge Funds and then explains the two most widespread concentration ratios : the Herfindahl-Hirschman Index and the Concentration Ratio (CR). This thesis also reviews the literature about the relationship between concentration and performance on the mutual fund industry and afterwards, it gives the different trends about the concentration of Funds of Funds applied to our sample.

Further, we study in more detail the link that would exist between concentration and performance in this type of funds and try to draw results based on two different kinds of regressions. The first one examines concentration and performance whereas the second one investigates additional variables which belong to the fund’s characteristics such as fund size, fund age, minimum investment, management fees and past performance.

Our finding implies that there would exist a positive relationship between concentration and performance in some cases, which sustains the literature even if some results were not significant. However it seems that the relationship between concentration and performance could be explained by other control variables, which are substantial and significant in most cases.