Historical VaR, CVaR and ES (Expected Shortfall) to LIQUIDATION Software is a model characterized by its straightforwardness, allowing regulators measure risk using a standard database of primitive factors and portfolio positions only, leaving little error margin in comparing market risk for...

A closet indexer is more likely to meet a value-weighted investment benchmark by value-weighting the portfolio. Following this intuition, we introduce a simple measure of active management, the absolute difference between the value weights and the actual weights held by a fund, averaged across...

This paper examines the optimal use of investment constraints in delegated portfolio management. We show that investment constraints, which limit managers' uses of margin purchase and short-sales, can benefit investors by enhancing managers' incentives to acquire long-term investment information...

This study examines whether mutual funds herd in industries and the extent to which such herding impacts industry valuations. Using two herding measures proposed by Lakonishok et al. (1992) and Sias (2004) we document that mutual funds herd in industries. We show that industry herding is not...

I show that the shape of flow–performance relationship among open-end funds varies with investor sentiment. This link is stronger when the market tone is optimistic. Cross-sectional comparison reveals that the convexity of the relationship is more pronounced among funds of the type that...

We show that fund-specific return skewness is associated with managerial skill and future hedge fund performance. Specifically, skewness in fund returns reflects managerial skill in avoiding large drawdowns. Using a new measure of investment skill that accounts for this managerial ability, we...

Mutual fund companies frequently assign multiple funds to one portfolio manager. This study examines the consequences of such “multitasking” arrangements. We find that, despite fund companies choosing more qualified managers to run multiple funds, multitasking is associated with...

Fund flows become less sensitive to high performance after 2000, thereby decreasing convexity of the flow-performance relationship. I present novel evidence on the effects of aggregate performance on convexity of the flow-performance relationship. Flows to high-performing funds decrease when the...

In this paper we examine the differences in aggregate ownership of stocks held by passive equity funds and active equity funds and in the characteristics of stocks held by these funds. We find that holdings of passive funds do not mirror the holdings of active funds. There are systematic...