We use a holdings-based attribution model to disaggregate the benchmark-adjusted returns to U.S. equity mutual funds into components that reflect persistent segment tilts, the timing of segment returns, and stock selection relative to their benchmarks. We find that large-cap funds add value by...

Classical performance attribution methods decompose manager alpha into factor allocation and stock selection components. A manager can produce alpha through factor tilts relative to a benchmark and by stock selection within each factor. However, traditional attribution methods do not explicitly...

The value premium's persistence and magnitude run counter to the behavioral explanation of the value anomaly. How can investors continue to make the same widely recognized mistake? By examining the difference between mutual funds' reported buy-and-hold or time-weighted returns, and the average...