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Financial Innovation

Table 5 Mutual fund copycat measure switching probability matrices

From: ‘Smart’ copycat mutual funds: on the performance of partial imitation strategies

From\To

5

4

3

2

1

0

− 1

− 2

− 3

− 4

− 5

Panel A: Switching Probabilities 1 Quarter After Initial Fund Classification

5

59.06

16.71

6.20

2.82

1.48

4.69

1.66

1.60

1.66

1.58

2.54

4

17.30

33.45

16.45

8.13

4.60

5.94

4.41

2.84

2.77

2.50

1.61

3

5.55

16.81

25.85

15.09

7.68

8.84

5.72

4.59

4.49

3.34

2.04

2

2.96

7.55

14.19

25.20

14.61

10.77

8.65

6.71

4.55

3.21

1.60

1

2.07

4.33

7.70

13.48

27.25

10.11

15.75

8.44

5.54

3.50

1.84

0

1.55

1.85

2.34

2.74

2.38

75.66

3.48

3.54

2.79

2.16

1.51

− 1

1.16

2.87

4.53

5.64

10.54

10.55

32.95

15.77

8.66

4.90

2.42

− 2

1.22

2.55

3.94

4.56

5.67

9.78

16.12

27.36

16.75

8.39

3.66

− 3

1.27

2.31

3.00

3.50

4.24

7.66

8.18

16.63

29.23

17.33

6.65

− 4

1.13

1.70

2.45

2.07

2.58

5.22

4.41

8.18

18.51

35.16

18.58

− 5

1.68

1.14

1.19

1.40

1.45

3.82

2.03

3.73

6.03

18.81

58.70

Panel B: Switching Probabilities 2 Quarters After Initial Fund Classification

5

47.84

16.72

7.52

4.27

2.39

7.00

2.45

2.33

2.38

3.08

4.02

4

16.25

24.44

15.10

8.33

5.78

8.93

5.03

4.71

4.38

3.89

3.16

3

7.17

14.21

18.11

13.49

8.50

11.09

7.21

6.41

6.14

4.63

3.04

2

4.13

8.56

12.43

18.16

12.60

13.36

9.73

7.74

5.57

4.86

2.86

1

2.30

5.37

8.17

12.84

21.82

13.13

13.42

8.87

6.59

4.77

2.74

0

2.31

2.71

3.09

3.38

3.03

67.58

4.53

4.48

3.76

2.95

2.18

− 1

1.84

3.62

4.78

6.99

10.07

13.61

26.09

14.50

9.33

5.79

3.38

− 2

1.76

3.25

4.74

4.99

6.58

13.58

15.58

19.94

14.98

9.66

4.94

− 3

1.82

3.20

4.37

4.06

4.79

10.74

9.67

15.04

21.88

15.98

8.45

− 4

1.81

2.80

3.20

2.96

3.43

8.08

5.73

10.28

16.58

26.44

18.68

− 5

2.87

2.22

2.30

1.70

1.74

5.75

2.99

5.50

8.21

18.87

47.86

Panel C: Switching Probabilities 3 Quarters After Initial Fund Classification

5

41.19

15.99

8.19

4.85

2.56

7.92

3.31

2.95

3.73

3.80

5.52

4

15.73

20.33

13.31

8.40

6.33

10.08

5.53

5.76

5.40

4.81

4.32

3

7.03

13.72

14.97

11.17

8.26

13.19

7.31

7.62

6.68

5.67

4.37

2

4.42

7.74

11.31

14.33

12.29

15.22

9.93

8.58

7.29

5.64

3.25

1

2.70

5.07

8.12

12.16

18.30

13.48

13.62

9.14

7.22

6.02

4.16

0

3.20

3.34

3.89

3.95

3.52

59.80

5.17

5.42

4.82

3.84

3.04

− 1

2.11

3.58

5.53

6.56

9.84

15.25

22.07

13.26

10.38

6.95

4.47

− 2

2.11

4.05

4.61

5.70

6.46

15.58

14.87

16.89

13.50

10.28

5.96

− 3

2.64

3.76

4.18

5.00

5.23

12.46

9.93

14.50

18.26

14.15

9.89

− 4

2.70

3.55

3.41

3.93

3.90

9.35

6.85

9.75

15.45

22.95

18.16

− 5

3.73

2.65

3.15

2.24

2.40

7.24

3.95

6.43

9.58

18.17

40.46

Panel D: Switching Probabilities 4 Quarters After Initial Fund Classification

5

36.71

15.74

8.63

4.94

2.77

8.57

3.34

3.38

4.26

4.66

7.01

4

14.80

17.11

12.43

8.85

5.93

11.42

5.53

6.11

6.28

5.84

5.69

3

7.78

12.38

12.93

10.81

7.38

14.56

8.07

7.79

7.59

6.15

4.57

2

4.56

8.23

10.26

13.85

11.77

15.92

9.62

8.18

7.48

6.23

3.90

1

2.95

5.47

7.80

11.84

16.76

14.56

13.15

10.27

7.54

5.54

4.11

0

3.24

3.67

4.15

3.98

3.65

57.25

5.66

5.53

5.11

4.37

3.40

− 1

2.34

3.84

4.81

6.51

9.88

16.37

20.70

14.17

9.99

6.88

4.52

− 2

2.50

3.70

5.25

5.47

7.16

16.81

14.21

14.94

12.75

10.20

7.02

− 3

2.59

4.21

4.78

4.88

5.41

14.41

10.01

13.77

16.38

14.04

9.52

− 4

3.07

3.83

3.88

4.28

3.60

11.43

6.83

10.42

14.74

20.77

17.17

− 5

4.42

3.51

3.13

2.62

2.57

8.95

4.26

6.51

9.40

17.50

37.14

From

To follower

To zero

To leader

Panel E: 4 Quarters

Follower

54.51

12.98

32.51

Zero

18.70

57.21

24.09

Leader

21.68

13.60

64.72

Panel F: 8 Quarters

Follower

46.00

15.26

38.74

Zero

21.39

50.24

28.37

Leader

23.15

17.09

59.76

Panel G: 20 Quarters

Follower

35.46

21.28

43.26

Zero

23.79

45.53

30.69

Leader

24.46

24.77

50.77

  1. Mutual funds are sorted into groups every quarter, ranked by their Copycat measure. The dataset spans 2000 to 2016. Transition probabilities are calculated as the percentage of funds that switch from one group to another between quarters t and t + n. Panels A to D show transition matrices for groups sorted as follows: funds with a Copycat measure of zero are put together, while those with negative and positive measures are sorted into quintiles, ranked in ascending order by their Copycat measure. This results in 11 uneven quantiles. Panel A shows transition probabilities after one quarter, while Panels B, C and D show differences after 2, 3, and 4 quarters, respectively. In panels E and F funds are sorted into three groups, for those with negative, zero and positive Copycat measures. Panel E shows switching probabilities 1 year (4 quarters) after initial fund classification, and Panel F depicts probabilities of switching after 2 years.
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