Expense Ratio as an Effect of Fund Attributes' Impact

Abstract

p>Celem artykułu jest ustalenie wpływu atrybutów funduszy inwestycyjnych, takich jak wiek, wielkość funduszu oraz wielkość towarzystwa, do jakiego należy dany fundusz, na wysokość opłat pobieranych przez omawianych pośredników. W tym celu wykorzystano analizę regresji wielorakiej dla danych przekrojowych z wykorzystaniem trzech metod estymacji paramentów (OLS, Fama–MacBetha oraz IRLS). Analizę zależności wskaźników kosztów uczestnictwa od cech organizacyjnych oparto o dane dotyczące czterech segmentów polskich funduszy inwestycyjnych. Otrzymane wyniki potwierdzają istnienie niewielkich korzyści skali w opłatach pobieranych przez fundusze w związku ze zwiększaniem się wartości posiadanych aktywów.</p

Full text

ANNALES
UNIVERSITATIS MARIAE CURIE-SKŁODOWSKA
LUBLIN – POLONIA
VOL. LII, 4 SECTIO H 2018
DOI:10.17951/h.2018.52.4.17-27
Cardinal Stefan Wyszynski University in Warsaw (UKSW). Faculty of History and Social Sciences
DARIUSZ FILIP
ORCID ID: https://orcid.org/0000-0002-6905-1004


ORCID ID: https://orcid.org/0000-0003-0883-1944

Expense Ratio as an Effect of Fund Attributes’ Impact

Keywords:
Słowa kluczowe:
JEL code: G11; G23; G29
Introduction

along with the increase in the volume of production or services provision, long-term

inter alia



capital group. Moreover, if these entities hold a relatively large market share, they
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Pobrane z czasopisma Annales H - Oeconomia http://oeconomia.annales.umcs.pl
Data: 20/02/2019 21:22:24
UMCS

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  
along with the increase in undertakings for collective investment institutions, the
  

the less liquid markets.
-
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
-
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
holds a given fund on the level of costs charged during investment.
Study of the economies of scale in operating costs of investment funds appears to
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market as well as of the intensity of competition in the sector. In turn, the analysis of
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institutions.
The paper consists of three parts and a summary. Part one provides a short review

-
dures. The third part of the study is devoted to the results achieved. Final comments
constitute the summary.
1. Theoretical background

 -


lending activities, that large entities holding more than USD 100 million achieve

entities allowing mortgages, concluded that they record negative effects of economies
of scale. In studies on markets from our regions, including Poland, some analyses take

Pobrane z czasopisma Annales H - Oeconomia http://oeconomia.annales.umcs.pl
Data: 20/02/2019 21:22:24
UMCS

   19

a decrease of interest costs [Jackowicz et al., 2013].

economies of scale referred mainly to the effect of asset allocation. Within this trend,
  
 







  
decrease along with an increase in the assets the fund holds. It was also noted that
the fund results do not get worse with the growth of assets of the investment fund
-


decreasing economies of scale and reduced liquidity are recorded in the area of
managing the investment portfolio.
Among the less numerous works comparing the scope of investment fund activity




of investment funds.

in relation to the scope of the fund activity and the investment fund company itself


-
  

   
increase in costs in the market of closed-end funds was proportionally lower than

 
portfolio turnover ratio.



Pobrane z czasopisma Annales H - Oeconomia http://oeconomia.annales.umcs.pl
Data: 20/02/2019 21:22:24
UMCS

20 

age and size were measured logarithmically due to a non-linear relationship with
-





age and the size of a fund and of an investment group in a logarithmic approach.

decreased with an increasing value of assets. For equity funds, this dependency was
-

investment companies.







past investment results of funds and current fees. She found that performance are not



funds. They found that high fees of Polish funds are not related to the performance.
Moreover, they noticed the strong relationship of management fees with the fund size






non-parametric tests applied in the cointegration analysis.
2. Research procedure and the applied data

-

money market funds. The constraints introduced into this paper refer to the handicap
Pobrane z czasopisma Annales H - Oeconomia http://oeconomia.annales.umcs.pl
Data: 20/02/2019 21:22:24
UMCS

   21
of regional investments. The research covered only domestic mutual funds operating



The main hypothesis of this paper assumes that organizational factors such as


research procedures, i.e. with the use of regression analysis. To identify economies of
scale in the costs of service, a statistical inference is referred to actual amounts of total




where: Expense
i
  i charge
LNage is a natural logarithm of the
LNsize is
a natural logarithm of net asset value of a given fund; and LNfamily is a natural
logarithm of net asset value of the investment company to which fund i
The part of the model marked with ε is called an error term that takes into account

-
alytical form of the model.

descriptive statistics were selected that included mean values, median, standard
  

-




the regression model estimation were applied:
Observations Mean Median St andard
deviationMinimumMaximum
equity funds 676 0.03928 0.04012 0.01398 0.00093 0.14747
mixed funds 614 0.03158 0.03057 0.01145 0.00036 0.09707
bond funds 439 0.01485 0.01537 0.00606 0.00100 0.04002
money market funds 360 0.01083 0.01000 0.00480 0.00091 0.04963
Pobrane z czasopisma Annales H - Oeconomia http://oeconomia.annales.umcs.pl
Data: 20/02/2019 21:22:24
UMCS

22 
  a standard method of
estimating structural linear parameters of linear regression models that is

estimators;
 
a traditional approach to capital asset pricing models in which the estimation

in regression models for particular funds; and
  -
ly calculated weights that is a particular case of a generalized method of



-
t-


R2
parameters, which assumes that variances of random components are constant (ho-
moscedasticity), the heteroscedasticity test for standard errors was also performed,
i.e. the White test.
3. Results
According to the adopted assumptions, this study dealt with dependencies of

-
pirical section will refer to each fund segment separately.
  

-


which three econometric approaches were applied.



the higher an investment fund and the investment fund company, the marginally



Pobrane z czasopisma Annales H - Oeconomia http://oeconomia.annales.umcs.pl
Data: 20/02/2019 21:22:24
UMCS

   23
segment. However there are relatively low values of R-squared that might signify

At the stage of data analysis, there appeared quite high variations in costs that
 



-





did not provide convincing evidence to verify the assumed null hypothesis in the



const
0.12154
***0.05794
***0.10375
***
(0.00806)(0.00209)
(0.01124)
LN
age
0.00138
*
0.00025
0.00086
(0.00072)(0.00018)
(0.00063)
LN
s
ize-0.00132 ***-0.00036
***-0.00018
(0.00037)(0.00009)
(0.00036)
LN
f
amily
-0.00294 ***-0.00055
***-0.00301 ***
(0.00044)(0.00011)
(0.00055)
R-squared
0.07616
0.04997
0.05422
F-S tes
t
36.94528
***16.96590
***11.56197
***
White test
40.76767
***11.16260
33.02200
OL
S
F
ama-MacBethIRLS
const 0.07676 *** 0.05391 *** 0.05687 ***
(0.01117) (0.00541) (0.00795)
LNage 0.00088 -0.00032 -0.00007
(0.00092) (0.00044) (0.00062)
LNsize -0.00349 *** -0.00101 *** -0.00051
(0.00047) (0.00023) (0.00039)
LNfamily 0.00081 -0.00010 -0.00073 *
(0.00067) (0.00032) (0.00042)
R-squared 0.11367 0.01171 0.01954
F-S test 23.78914 *** 13.77736 *** 3.76845 **
White test 225.92734 *** 3.71147 4.58965
OLSFama-MacBeth IRLS
Pobrane z czasopisma Annales H - Oeconomia http://oeconomia.annales.umcs.pl
Data: 20/02/2019 21:22:24
UMCS

24 
-







of the portfolio of these funds, costs charged during investment were far lower com-


the research on economies of scale.







-

  




-

const 0.03805 *** 0.02717 *** 0.02484 ***
(0.00518) (0.00576) (0.00221)
LNage 0.00055 0.00017 0.00053 ***
(0.00041) (0.00035) (0.00017)
LNsize -0.00061 ** -0.00068 ** -0.00043 ***
(0.00026) (0.00029) (0.00012)
LNfamily -0.00064 ** 0.00010 -0.00012
(0.00029) (0.00028) (0.00011)
R-squared 0.05914 0.01583 0.01283
F-S test 7.83642 *** 2.00578* 6.38457
White test 29.90193 *** 5.98538 1.55297
OLSFama-MacBeth IRLS
Pobrane z czasopisma Annales H - Oeconomia http://oeconomia.annales.umcs.pl
Data: 20/02/2019 21:22:24
UMCS

   25



  

of scale in costs for, among others, operational area of funds. The analysed organi-



Summary





  


  -

costs charged during investment. It is also worth noting that the recorded degree
  
  
portfolios. Moreover, for equity funds, a negative impact of the size of investment
  
segments of investment funds, a relatively strong sensitivity of the received results
const 0.03119 *** 0.01865 *** 0.02988 ***
(0.00505) (0.00345) (0.00443)
LNage 0.00015 -0.00010 -0.00021
(0.00037) (0.00025) (0.00032)
LNsize -0.00045 ** -0.00004 -0.00044 **
(0.00022) (0.00015) (0.00020)
LNfamily -0.00057 ** -0.00034 * -0.00045 **
(0.00026) (0.00018) (0.00022)
R-squared 0.05315 0.06197 0.06650
F-S test 6.006427 *** 6.26530 *** 7.62204 ***
White test 7.135707 5.16751 2.16116
OLSFama-MacBeth IRLS
Pobrane z czasopisma Annales H - Oeconomia http://oeconomia.annales.umcs.pl
Data: 20/02/2019 21:22:24
UMCS

26 



advanced research approaches.
  

-



To sum up, these economies of scale in operational costs of investment funds


led to the decrease in real level of costs charged during investment. The conclusions

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
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
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funduszy inwestycyjnych

    
-
  

  -


Expense Ratio as an Effect of Fund Attributes’ Impact





Pobrane z czasopisma Annales H - Oeconomia http://oeconomia.annales.umcs.pl
Data: 20/02/2019 21:22:24
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