Male fund managers hold portfolios with higher total fund risk and unsystematic risk (risks related to a particular stock or sector) when sentiment is bad, while female managers' portfolios hold about half the unsystematic risk as those managed by male counterparts during those times, according to the research, which sought to explore whether make and female managers react differently to sentiment.
Pricing models suggest that "the higher level of unsystematic risk is not associated with higher fund performance, nor are there any performance differences between male- and female-managed funds," wrote researchers Monika Gehde-Trapp of Eberhard Karls Universität Tübingen, and Linda Klingler, University of Hohenheim.
"Therefore, we conclude that fund investors bear unrewarded risks in the portfolios managed by male fund managers due to the latter's more active bets," they added.
The researchers studied a sample of diversified domestic U.S. equity funds run by solo managers from January 1992 through December 2015, classifying funds as male- or female-led based on the managers' first names. They used the VIX volatility index as their main sentiment measure.
The research included portfolios from major U.S. fund companies, Gehde-Trapp told ThinkAdvisor via email. Funds could be large-cap growth or small-cap value and so forth, but no bond funds or portfolios focused on non-U.S. companies.
"Most research shows that female investors take less risk than male investors," she said. "No matter whether one looks at retail investors or professional investors: Female investors are more cautious, trade less frequently — and thus create less transaction costs — and do not switch their investment styles so often.
