This paper develops a new approach that controls for commonalities in actively managed investment fund returns when measuring their performance. It is well-known that many investment funds may systematically load on common priced factors omitted from popular models, exhibit similarities in their...

Fund families are centrally managed, and can directly control resource allocations between funds. We quantify multiple manageable fund family attributes, and examine their combined effects upon returns and investor flows. We focus upon five attributes that are exclusively manageable by fund...

"Other" holdings (OH), including cash, are commonly held in nearly all U.S. equity mutual fund portfolios. This paper investigates the portfolio effects of OH beyond their broad liquidity purposes. I document OH positions in mutual fund portfolios, discovering a surprising correlation between OH...

We propose a simple approach to account for commonalities in mutual fund strategies that relies solely on information on fund returns and investment objectives. Our approach augments commonly used factor models with an additional benchmark that represents an equal investment in all same-category...

This paper develops a new approach to control for commonalities in actively managed investment fund returns when measuring their performance. Many investment fund managers systematically load on common priced factors that are omitted from popular models, exhibit similarities in their choices of...