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The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna (http://www.gutmann-center.at)

is pleased to announce the following

PUBLIC LECTURE:

Date: June 4th, 2003 (Wednesday), 4.30 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (http://www.gutmann.at)

Speaker: Russel R. Wermers, Professor of Finance, University of Maryland http://www.rhsmith.umd.edu/Finance/rwermers/

Russel R. Wermers is Professor of Finance at the Robert H. Smith School of Business,University of Maryland at College Park. Numerous publications in top-class journals such as “American Economic Review”, “Journal of Finance”, “Journal of Financial and Quantitative Analysis”. Current research interests: mutual fund performance measurement, the impact of mutual funds on stock markets, and empirical tests of the efficiency of stock markets.

Title: "Games Asset Managers Play"

Abstract:

What types of games do asset managers play, knowing that they are being judged by their performance records each year? Prior research indicates that mutual fund managers play a yearly “tournament.” Specifically, mid-year losing funds increase their risk during the second half of the year in an attempt to overtake mid-year winning funds, while mid-year winners decrease their risk to “lock in” their relative position.

This talk will describe the results of a new study of mutual fund tournaments that digs deeper into the determinants of risk-taking behavior by managers. We show that fund managers pay attention not only to their mid-year performance records, relative to their peers, but also to the amount of risk that they have taken in the past. That is, fund managers behave as if they have a “risk budget,” which sometimes leads to behavior that runs counter to that predicted by prior studies. For example, a fund manager who has taken a substantial amount of risk during the first half of a year, and loses, tends to reduce risk during the second half of the year.

Our results provide new insights into the sponsor-manager agency problem, which, in turn, provides sponsors with new insights into the risks of delegated portfolio management.

Please register - Contact:

Brigitte Juchelka, Bank Gutmann AG mail: brigitte.juchelka@gutmann.at Tel.: +43-1-50220-357 Fax: +42-1-50220-249