We document a systematic seasonal component in the aggregate underperformance of active mutual funds. At the aggregate level, active funds underperform the market and other passive benchmarks only in the first month of a quarter. This intra-quarter performance seasonality holds across fund sizes...

We process an exhaustive set of 147 portfolio performance measures and their variations, and identify 18 relevant dimensions using a Principal Component Analysis on a sample of 1,625 international equity mutual funds. We isolate three of the seven most informative factors that uncover potential...

In this paper we show that simple buy-and-hold strategies over-perform market-timing strategies effectively used by Italian investors in equity mutual funds. We estimate returns from market-timing strategies using aggregate data on net flows for a large sample of equity mutual funds, available...

We apply methods designed to measure mutual fund skill to a cross-section of traded funds that should not exhibit managerial portfolio selection skill: index funds. Surprisingly, these tests imply index fund skill exists, is persistent, and is in similar proportion as in active funds. We use the...

We uncover a negative relation between herding behavior and skill in the mutual fund industry. Our new, dynamic measure of fund-level herding captures the tendency of fund managers to follow the trades of the institutional crowd. We find that herding funds underperform their antiherding peers by...

This paper analyses the impact of more frequent portfolio disclosure on mutual funds' performance. Since 2004, SEC requires all U.S. mutual funds to disclose their portfolio holdings on a quarterly basis from semi-annual previously. This change in regulation provides a natural setting to study...

We reconsider the question of whether beta-centric hedge fund activity is predictive of superior performance. We construct a measure of overall beta activity of fund managers, Beta Activity, and find evidence that top beta active managers deliver superior long term out-of-sample performance...

Using a sample of 164 smart beta exchange-traded funds (ETFs) during 2003–2014, I analyze whether these funds beat their benchmarks by tilting their portfolios to various factors. I also test if smart beta funds harvest factor premiums more efficiently than their traditional cap-weighted...

We propose a novel approach for analysis of the composition of an equity mutual fund based on the time series decomposition of the price movements of the individual stocks of the fund. The proposed scheme can be applied to check whether the style proclaimed for a mutual fund actually matches...

This paper provide evidence of momentum strategy selection and investment strategy switch under different market state for 207 mutual funds. The test are designed to examine the impact of different strategy and evaluate the performance under specific conditions. The study in this paper confirm...