This study establishes a multi-tier framework to evaluate how fund manager characteristics systematically affect mutual fund performance. The framework includes three tiers of performance elements: 1) comprehensive performance, 2) return and risk, and 3) timing skill and picking ability. Using...

This study provides early evidence on the performance of passively-managed hedged exchange-traded funds (HETFs) introduced rather recently in late 2006. The data covers surviving HETFs in 2017 under global macro and long-short classifications. Using Fung and Hsieh's (2004) 7-factor model and...

Using a novel measure of stock-level trade imitation, we uncover "smart" copycats: fund managers that use their own information when beneficial, and otherwise imitate other managers' better trades. Contrary to previous research, we find that these partial imitation strategies lead to...

We study how mutual fund managers gain an edge in selecting stocks in an era of globalization. We use textual analysis to construct a new measure that captures a mutual fund's offshore exposure concentration through holding U.S. multinational firms. The proposed offshore concentration index...

Using a comprehensive set of 103 equity strategies, we analyze the value of volatility-managed portfolios for real-time investors. Volatility-managed portfolios do not systematically outperform their corresponding unmanaged portfolios in direct comparisons. Consistent with Moreira and Muir...

Short sellers are perceived as informed, sophisticated investors. Yet little is known about their actual performance and trading strategies. Using a novel, hand-collected data set of daily position disclosures in Europe, we identify the entry, change, and exit dates of large short-sale positions...

Although there has been a substantial flow of money over the last twenty years into index tracking funds and ETFs, the vast majority of equity investment in mutual funds is still being managed on an active, discretionary basis. In the US and the UK active management still accounts for around 75%...

Evidence to date on the performance of Socially Responsible Investments (SRI) has almost exclusively been conducted within equity markets. We provide new evidence on the potential of SRI for other asset classes, by assessing the performance of SRI fixed-income funds. This is the first...

This research investigates the relationship between mutual funds investment style consistency, the future funds performance, and funds net flow. Using a large sample of actively-managed U.S. equity mutual funds from Morningstar database, for the period from January 2002 to December 2011, 5555...

This study aims to empirically analyze the asset allocation capabilities of Outsourced Chief Investment Officers (OCIOs) in Korea. The empirical analysis used data from 35 funds that were evaluated by the Ministry of Strategy and Finance from 2012 to 2020. The results of the analysis are...