We show that fund families allocate their fund managers to different market segments such that their skill is rewarded best. Whether a fund manager's skill is rewarded by higher alpha depends on the efficiency of the market segment in which she works. Even skilled managers can generate alpha...

We examine the relative weights hedge fund investors attach to past information in the fund selection process. The weighting scheme appears inconsistent with econometric forecasting models that predict fund returns, alphas or Sharpe ratios. In particular, investor flows are highly sensitive to...

We examine the daily activity and performance of a large panel of individual investors in Sweden's Premium Pension System. We find that active investors earn higher returns and risk-adjusted returns than inactive investors. A performance decomposition analysis reveals that most of the...