Style Drift Literature Classification

Keyword-based relevance classification using 58-corpus Stage 4 methodology

65
RELEVANT Papers
46
NEEDS REVIEW
111
Total Papers (Merged)

Classification by Source

Source Corpus RELEVANT NEEDS_REVIEW Total Relevance Rate
58-corpus 58 0 58 100.0%
53-corpus 7 46 53 13.2%

Matched Keywords (Frequency)

investment style [+fund] (20) style analysis (12) active share (11) fund style (6) window dressing (6) style drift (5) closet index (5) closet indexing (4) return-based style (4) misclassif (3) style box (3) style timing (3) style consistency (2) returns-based style (1)

RELEVANT Papers (65 found)

International evidence on ethical mutual fund performance and investment style
58-corpus Journal of Banking & Finance (2004) | 1138 citations | DOI |
investment style [+fund]
No abstract available
Mutual fund styles
53-corpus Journal of Financial Economics () | 490 citations | DOI |
fund style
No abstract available
Changing Names with Style: Mutual Fund Name Changes and Their Effects on Fund Flows
58-corpus The Journal of Finance (2005) | 442 citations | DOI |
investment style [+fund]
ABSTRACT We examine whether mutual funds change their names to take advantage of current hot investment styles, and what effects these name changes have on inflows to the funds, and to the funds' subsequent returns. We find that the year after a fund changes its name to reflect a current hot style, the fund experiences an average cumulative abnormal flow of 28%, with no improvement in performance. The increase in flows is similar across funds whose holdings match the style implied by their new name and those whose holdings do not, suggesting that investors are irrationally influenced by cosmetic effects.
The Ethical Mutual Fund Performance Debate: New Evidence from Canada
58-corpus Journal of Business Ethics (2006) | 428 citations | DOI |
investment style [+fund]
textabstractAlthough the academic interest in ethical mutual fund performance has developed steadily, the evidence to date is mainly sample-specific. To tackle this critique, new research should extend to unexplored countries. Using this as a motivation, we examine the performance and risk sensitivities of Canadian ethical mutual funds vis-à-vis their conventional peers. In order to overcome the methodological deficiencies most prior papers suffered from, we use performance measurement approaches in the spirit of Carhart (1997, Journal of Finance 52(1): 57–82) and Ferson and Schadt (1996, Journal of Finance 51(2): 425–461). In doing so, we investigate the aggregated performance and investment style of ethical and conventional mutual funds and allow for time variation in the funds’ systematic risk. Our␣Canadian evidence supports the conjecture that any␣performance differential between ethical mutual funds and their conventional peers is statistically insignificant.
On Mutual Fund Investment Styles
53-corpus Review of Financial Studies () | 422 citations | DOI |
investment style [+fund]
No abstract available
Liquidity, Investment Style, and the Relation between Fund Size and Fund Performance
53-corpus Journal of Financial and Quantitative Analysis () | 332 citations | DOI |
investment style [+fund]
No abstract available
Active Share and Mutual Fund Performance
58-corpus Financial Analysts Journal (2013) | 296 citations | DOI |
active sharecloset indexcloset indexing
AbstractUsing active share and tracking error, the author sorted all-equity mutual funds into various categories of active management. The most active stock pickers outperformed their benchmark indices even after fees, whereas closet indexers underperformed. These patterns held during the 2008–09 financial crisis and within market-cap styles. closet indexing has increased in both volatile and bear markets since 2007. Cross-sectional dispersion in stock returns positively predicts performance by stock pickers.Should a mutual fund investor pay for active fund management? Generally, the answer is no. A number of studies have all concluded that the average actively managed fund loses to a low-cost index fund, net of all fees and expenses. However, active managers are not all equal: They differ in how active they are and what type of active management they practice. These distinctions allow us to distinguish different types of active managers, which tu...
Active Share and Mutual Fund Performance
53-corpus Financial Analysts Journal () | 296 citations | DOI |
active share
No abstract available
The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation
58-corpus The Journal of Finance (1993) | 246 citations | DOI |
investment style [+fund]
ABSTRACT This paper presents an empirical examination of the selectivity and market timing performance of a sample of U.S. equity pension fund managers. Regardless of the choice of benchmark portfolio or estimation model, the average selectivity measure is positive and the average timing measure is negative. However both selectivity and timing appear to be somewhat sensitive to the choice of a benchmark when managers are classified by investment style. Meta‐analysis revealed some real variation around the mean values for each measure. The 80 percent probability intervals for selectivity revealed that the best managers produced substantial risk‐adjusted excess returns. We also found a negative correlation between selectivity and timing, but we argue that the observed negative correlation in our data is largely an artifact of negatively correlated sampling errors for the two estimates.
International Evidence on Ethical Mutual Fund Performance and Investment Style
58-corpus SSRN Electronic Journal (2002) | 227 citations | DOI |
investment style [+fund]
No abstract available
Patient capital outperformance: The investment skill of high active share managers who trade infrequently
58-corpus Journal of Financial Economics (2016) | 182 citations | DOI |
active share
No abstract available
Mutual Fund Misclassification: Evidence Based on Style Analysis
53-corpus Financial Analysts Journal () | 162 citations | DOI |
style analysismisclassif
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Generalised style analysis of hedge funds
58-corpus Journal of Asset Management (2000) | 137 citations | DOI |
style analysis
No abstract available
Board Characteristics and Company Performance: Evidence from Nigeria
58-corpus Journal of Finance and Accounting (2014) | 114 citations | DOI |
window dressing
This study examines the relationship between board characteristics and company performance(measured by turnover) in Nigeria. The study uses multiple regression technique on 90 sampled firms from the main board of Nigerian Stock Exchange from 2010 to 2012. The empirical evidence shows that board size and board education are positively and significantly related to company performance. While there is no relationship between board equity, board independence, and board age. Also, this study evidences a negative significant between board women and turnover. Their appointment is window dressing as the percentage is too small for meaningful positive effect on company performance. Based on this finding, the study recommends legislation mandating companies listed on Nigerian Stock Exchange to appoint at l east 30 to 35% of women on the board of directors.
Evaluating style analysis
58-corpus Journal of Empirical Finance (2003) | 104 citations | DOI |
style analysis
No abstract available
Hedge Fund Performance Persistence: A New Approach
58-corpus Financial Analysts Journal (2008) | 101 citations | DOI |
investment style [+fund]
AbstractRecent literature has found some evidence of performance persistence in hedge funds. This study investigated whether this persistence varies with fund characteristics, such as size and age. Previous research has found that funds face capacity constraints, that investment flows chase past performance, and that as funds age, they become more passively managed, which reduces the likelihood of performance persistence as funds grow older and larger. Consistent with this model, this study found that performance persistence is strongest among small, young funds. A portfolio of these funds with prior good performance outperformed a portfolio of large, mature funds with prior poor performance by 9.6 percent per year. When an investor is selecting a hedge fund for investment, is the fund manager's prior performance record helpful? If past performance is indicative of future results, this information is valuable. If not, investors may be better off selecting a manager on the basis of the ...
The resilience of Islamic equity funds during COVID-19: Evidence from risk adjusted performance, investment styles and volatility timing
58-corpus International Review of Economics & Finance (2021) | 100 citations | DOI |
investment style [+fund]
No abstract available
SOCIALLY RESPONSIBLE INVESTING IN THE GLOBAL MARKET: THE PERFORMANCE OF US AND EUROPEAN FUNDS
58-corpus International Journal of Finance & Economics (2011) | 98 citations | DOI |
misclassifinvestment style [+fund]
ABSTRACT This paper investigates the style and performance of US and European global socially responsible funds. Several specifications of the return‐generating process are applied as well as their corresponding conditional versions. Most European global socially responsible funds do not show significant performance differences in relation to both conventional and socially responsible benchmarks. US funds and Austrian funds show evidence of underperformance. By applying conditional models, we find evidence of time‐varying betas but not of time‐varying alphas. With respect to investment style, we find evidence that socially responsible funds are strongly exposed to small cap and growth stocks. Although these results are consistent with previous studies, they uncover some misclassification issues in these funds. Finally, we also document a significant home bias for global socially responsible funds. Copyright © 2011 John Wiley & Sons, Ltd.
Matter of Style: The Causes and Consequences of Style Drift in Institutional Portfolios
58-corpus SSRN Electronic Journal (2012) | 94 citations | DOI |
style drift
No abstract available
Active Share and Mutual Fund Performance
58-corpus SSRN Electronic Journal (2010) | 79 citations | DOI |
active share
No abstract available
Causes and Seasonality of Momentum Profits
58-corpus Financial Analysts Journal (2007) | 72 citations | DOI |
window dressing
AbstractWith Januaries (a month in which lagged "losers" typically outperform lagged "winners") excluded, the average monthly return to a momentum strategy for U.S. stocks was found to be 59 bps for non-quarter-ending months but 310 bps for quarter-ending months. The pattern was stronger for stocks with high levels of institutional trading and was particularly strong in December. The results suggest that window dressing by institutional investors and tax-loss selling contribute to stock return momentum. Investors using a momentum strategy should focus on quarter-ending months and securities with high levels of institutional trading.Stocks exhibit return momentum: Lagged "winners" (i.e., securities in the top performance decile based on returns over the previous six months) tend to subsequently outperform lagged "losers" (i.e., securities in the bottom lagged six-month performance decile). Both tax-loss selling in December and window dressing by institutional i...
Equity Style Timing (corrected)
53-corpus Financial Analysts Journal () | 69 citations | DOI |
style timing
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Don't Take Their Word for It: The Misclassification of Bond Mutual Funds
58-corpus The Journal of Finance (2021) | 63 citations | DOI |
misclassif
ABSTRACT We provide evidence that bond fund managers misclassify their holdings, and that these misclassifications have a real and significant impact on investor capital flows. The problem is widespread, resulting in up to 31.4% of funds being misclassified with safer profiles, compared to their true, publicly reported holdings. “misclassified funds”—those that hold risky bonds but claim to hold safer bonds—appear to on‐average outperform lower risk funds in their peer groups. Within category groups, misclassified funds receive more Morningstar stars and higher investor flows. However, when we correctly classify them based on actual risk, these funds are mediocre performers.
Patient Capital Outperformance: The Investment Skill of High Active Share Managers Who Trade Infrequently
58-corpus SSRN Electronic Journal (2014) | 62 citations | DOI |
active share
No abstract available
The Mutual Fund Industry Worldwide: Explicit and Closet Indexing, Fees, and Performance
58-corpus SSRN Electronic Journal (2011) | 54 citations | DOI |
closet indexcloset indexing
No abstract available
The Mutual Fund Industry Worldwide: Explicit and Closet Indexing, Fees, and Performance
58-corpus SSRN Electronic Journal (2011) | 51 citations | DOI |
closet indexcloset indexing
No abstract available
The Role of Financial Leverage in the Performance of Private Equity Real Estate Funds
58-corpus The Journal of Portfolio Management (2013) | 49 citations | DOI |
investment style [+fund]
We study a unique data set in order to examine the performance of a sample of 169 global private equity real estate investment funds across the core, value-add and opportunistic investment style categories over the most recent property cycle (2001-2011). We employ a multi-factor asset pricing model to measure the impact on the funds’ total excess returns of the underlying real estate market, managerial skill measured by Jensen’s alpha, leverage and, for the first time, managerial skill as it relates to timing leverage decisions to anticipated future market trends. We find evidence consistent with the hypotheses that i) fund performance is almost directly proportional to the return on the underlying real estate market, ii) there is evidence for systematic underperformance as measured by Jensen’s alpha, possibly related to market frictions, iii) leverage cannot be viewed as a long-term strategy to enhance performance, and iv) timing leverage choices to the expected future ma...
Seasonality, Market Timing and Performance Amongst Benchmarks and Mutual Fund Evaluation
58-corpus Journal of Business Finance & Accounting (2006) | 48 citations | DOI |
window dressing
Abstract: Mutual fund performance is normally measured by comparing results of active management with those obtained by one or several benchmarks that should represent the fund's investment. In this context, this paper examines the effect on mutual fund assessment if a relevant benchmark is omitted. This effect is analysed in three elements of active management: stock selection, market timing, and seasonality. The latter is defined as fund management at specific moments of time with the objective of achieving positive abnormal returns to improve performance. For a sample of Spanish mutual funds, we find that the omission of style benchmarks, particularly that corresponding to small‐cap stocks, leads to greater evidence of negative market timing and positive seasonality at year beginning. However, the positive abnormal returns of the seasonality at year end, month end and especially at the beginning of July hold regardless of benchmark omission. The paper therefore also analyses the rel...
The Inconsistency of Return–Based Style Analysis
58-corpus The Journal of Portfolio Management (2000) | 44 citations | DOI |
style analysis
The authors demonstrate that the usual application of the return–based style analysis relies on commercially available indexes that exhibit extreme multicollinearity. The subsequent results are volatile and have little meaning. As a result, the authors argue that implementing return–based style analysis with commercially available indexes can result in accurate and inappropriate investment decision–making. Even with multicollinearity, however, they demonstrate that the results of the analysis can be meaningful as long as the explanatory variables properly capture the investment objective of the portfolio. The authors conclude that the only way to implement return–based analysis is to use portfolio–specific benchmarks that properly capture the investment objectives of the portfolio.
The Style Drift Score
58-corpus The Journal of Portfolio Management (2004) | 42 citations | DOI |
style driftstyle consistencyreturn-based stylestyle analysis
A quantitative measure of style drift measures the variability of a portfolio's effective asset mix as determined by return-based style analysis around the portfolio's average effective asset mix. A style drift score eliminates examination of countless rolling-window asset allocation graphs and rolling-window style maps; it quantifies the style drift of a portfolio in a single statistic. A style drift score is ideal for screening thousands of portfolios, comparing the style consistency of portfolios, and monitoring drift in a portfolio's style.
The devil in the style: Mutual fund style drift, performance and common risk factors
58-corpus Economic Modelling (2019) | 40 citations | DOI |
style driftfund style
No abstract available
Industry Window Dressing
58-corpus Review of Financial Studies (2016) | 39 citations | DOI |
window dressing
We explore a new mechanism by which investors take correlated shortcuts and present evidence that managers—using sales management—take advantage of these shortcuts. Specifically, we exploit a regulatory provision wherein a firm's primary industry is determined by the highest sales segment. Exploiting this regulation, we provide evidence that investors classify operationally nearly identical firms as starkly different depending on their placement around this sales cutoff. Moreover, managers appear to exploit this by manipulating sales to be just over the cutoff in favorable industries. Further evidence suggests that managers engage in activities to realize large, tangible benefits from this opportunistic action. Received July 28, 2014; accepted February 8, 2016 by Editor Andrew Karolyi.
Euro-Zone Equity Returns: Country versus Industry Effects
58-corpus European Finance Review (2011) | 39 citations | DOI |
style analysis
Abstract This paper uses style analysis to investigate whether Euro-zone equity returns are driven by country or industry effects over the 1990–2008 period. We find that before the introduction of the Euro, country effects dominate, while industry effects prevail after 1999. This reversal is driven mainly by the countries that were least integrated in the Economic and Monetary Union (EMU) and world markets in the early 1990s and for which the EMU convergence process led to rapid strengthening of linkages with the core Euro-zone. For markets with stronger economic linkages, industry effects dominate both before and after the introduction of the Euro.
Time Variation in Mutual Fund Style Exposures
58-corpus European Finance Review (2007) | 38 citations | DOI |
return-based stylestyle analysisfund style
Abstract Despite the wide acceptance of return-based style analysis, the method has several limitations. One important drawback is the assumption that style exposures are time-invariant. We apply results on break tests developed in Bai and Perron (1998, 2003) to test for style breaks. We find strong evidence against the hypothesis of constant time exposures in daily return data for European equity funds. All funds exhibit at least one break, and 60% exhibit more than one break. We show that the main reason for style breaks is the mutual funds' reliance on conditional investment strategies based on public information and volatility estimates.
An Index Fund Fundamentalist
58-corpus The Journal of Portfolio Management (2002) | 38 citations | DOI |
style box
This article revisits the author's 1998 study, which showed the superiority of low–cost equity funds over their high–cost alternatives for the five years ending 1996. Updating through 2001, the author again demonstrates that low–cost funds outperform high–cost funds on both an absolute and a risk–adjusted basis, and by an even greater margin than the cost differential would suggest. This pattern persists for equity mutual funds as a group, and in each of the nine Morningstar style boxes. Following this logic, as typically the lowest–cost alternatives in their category, index funds would be expected to rank among the top–performing funds in a category. As in his 1998 article, the author finds this is true—index funds outperform their actively managed counterparts in eight of the nine style boxes.
The Prevalence of the Disposition Effect in Mutual Funds’ Trades
58-corpus Journal of Financial and Quantitative Analysis (2012) | 33 citations | DOI |
investment style [+fund]
Abstract U.S. equity mutual funds, on average, prefer realization of capital losses to capital gains. Nevertheless, a substantial fraction exhibits the disposition effect of realizing gains more readily than losses. My analysis suggests that learning effects have reduced the manifestation of the disposition effect over time, implying that academic research has influenced industry practices. When funds experience outflows and are managed by teams of portfolio managers, they are more susceptible to selling disproportionately more winners than losers. Disposition-driven behavior affects investment style, causing lower market betas and characteristics of value-oriented and contrarian styles, but has no observable effect on fund performance.
Style/Risk-Adjusted Performance
58-corpus The Journal of Portfolio Management (1999) | 25 citations | DOI |
style analysis
The M-squared risk-adjusted performance measure, developed by Leah Modigliani and Franco Modigliani, calibrates all similar funds against the same broad market index; this is a desirable property. There may be times, however, when a “style mandate” may place to a fund at a distinct advantage (or disadvantage) relative to other funds. In such cases, the author shows that the M-squared methodology can be combined with Sharpe style analysis to produce a “style/risk-adjusted performance” measure. This measure is more difficult to calculate, but when there are strong style effects it can provide a useful additional perspective on performance.
Mutual Fund Shareholder Letters: Flows, Performance, and Managerial Behavior
58-corpus Management Science (2024) | 24 citations | DOI |
investment style [+fund]
Fund companies regularly send shareholder letters to their investors. We use textual analysis to investigate whether these letters’ writing style influences fund flows and whether it predicts performance and investment styles. Fund investors react to the tone and content of shareholder letters: a less negative tone leads to higher net flows. Thus, fund companies can use shareholder letters as a tactical instrument to influence flows. However, at the same time, a dishonest communication that is not consistent with the fund’s actual performance decreases flows. A positive writing style predicts higher idiosyncratic risk as well as more style bets, whereas there is no consistent predictive power for future performance. This paper was accepted by Victoria Ivashina, finance. Supplemental Material: The internet appendix and data files are available at https://doi.org/10.1287/mnsc.2021.03417 .
Style Analysis in Real Estate Markets: Beyond the Sector and Region Dichotomy
58-corpus The Journal of Portfolio Management (2009) | 24 citations | DOI |
returns-based stylestyle analysisinvestment style [+fund]
Although returns-based style analysis has been studied extensively in equity markets, applications of this valuable tool for measuring and benchmarking performance and risk in a real estate context are still relatively new. Previous studies in the real estate market have identified three investment categories: sectors, administrative regions, and economic regions. The low explanatory power of this type of categorization, however, reveals the need to extend returnsbased analysis within a real estate context. First, the authors review the obstacles to transferring equity style analysis to real estate. Then, they apply a multivariate model to randomly generated portfolios to test the significance of four real estate investment styles in explaining portfolio returns for various types of properties—small versus big, high yield versus low yield, concentrated versus diversified, and short lease versus long lease. Results show that alpha performance is si...
Fund performance and social responsibility: New evidence using social active share and social tracking error
58-corpus Journal of Banking & Finance (2022) | 22 citations | DOI |
active share
No abstract available
Points of Inflection: Investment Management Tomorrow
58-corpus Financial Analysts Journal (2003) | 22 citations | DOI |
style box
AbstractIn the future, the way investment professionals earn a living is going to be so different as to be almost unrecognizable. The world of investment management has passed through a point of inflection, which means the same forces that worked in a particular way for a long time have begun to operate in different and unfamiliar directions. The way we earn our living is going to be so changed as to be almost unrecognizable, especially in research, indexing, benchmarking, and long-only investing.Ever since May Day in 1975, brokerage revenue has been too low to finance investment research without the additional revenues of investment banking. But even though the old habit of paying for research with soft dollars made life easy for both managers and clients, those days are gone forever. As so often happens, this process ultimately ran to an extreme. Truly independent research—aka hard dollar research—will be the name of the game. Hard dollars come directly out of managers' pockets, but ...
The Case for Whole-Stock Portfolios
58-corpus The Journal of Portfolio Management (2001) | 19 citations | DOI |
closet indexcloset indexing
For more than 20 years pension and endowment funds have used multiple active investment managers with complementary styles to manage their U.S. common stocks. Theory tells us that the approach—diversifying with active managers—is suboptimal. Evidence presented by the author supports the theory, indicating that the strategy has underperformed by the margin of its cost, which is approximately 1.2% per year. Passive management is one solution, and passive allocations have risen steadily for 20 years. Many funds, however, demonstrate reluctance to pursue a purely passive approach. The author recommends that those funds consider employing one or more whole portfolios in managing their active U.S. equity assets. Successfully employed in managing fixed income and international equities, whole portfolios embrace the totality of the opportunity set represented by the asset class. Whole portfolios allow investment managers to make a broader range of relative–value judgments than occurs under the...
DYNAMIC HEDGE FUND STYLE ANALYSIS WITH ERRORS‐IN‐VARIABLES
58-corpus The Journal of Financial Research (2010) | 18 citations | DOI |
style analysisfund style
Abstract We revisit the traditional return‐based style analysis in the presence of time‐varying exposures and errors‐in‐variables (EIV). We apply a benchmark selection algorithm using the Kalman filter and compute the estimated EIV of the selected benchmarks. We adjust them by subtracting their EIV from the initial return series to obtain an estimate of the true uncontaminated benchmarks. Finally, we run the Kalman filter on these adjusted regressors. Analyzing EDHEC alternative index styles, we show that this technique improves the factor loadings and allows more precise identification of the return sources of the considered hedge fund strategy.
Mutual fund performance and changes in factor exposure
58-corpus The Journal of Financial Research (2021) | 17 citations | DOI |
investment style [+fund]
Abstract In this article, we examine whether active mutual funds that markedly change their exposure to systematic risk factors subsequently outperform. We propose a new returns‐based approach to assess the degree to which mutual funds adjust their risk exposure, with the benefit of not requiring periodically updated information related to funds' portfolio holdings. Applying this measure to active US mutual funds from 1990 to 2016, we provide evidence that mutual fund managers exhibiting substantial changes in their risk exposure generate alphas that are significantly higher than those with limited exposure variation. Other characteristics such as fund tracking errors, fund size, and investment style, or holdings‐based measures cannot explain these findings. Analyzing the long‐term persistence of active management, we provide evidence that the outperformance is due to managers' skill rather than to luck. Our findings contribute to the empirical evidence suggesting that act...
False discoveries in style timing of Chinese mutual funds
58-corpus Pacific-Basin Finance Journal (2016) | 17 citations | DOI |
style timing
No abstract available
Hedge Fund Manager Skill and Style-Shifting
58-corpus Management Science (2021) | 16 citations | DOI |
fund styleinvestment style [+fund]
Using a novel style identification procedure, we show that style-shifting is a dynamic strategy commonly used by hedge fund managers. Three quarters of hedge funds shifted their investment styles at least once over the period from January 1994 to December 2013. We perform empirical tests of two hypotheses for the motivations of hedge fund style-shifting, namely backward-looking and forward-looking hypotheses. We find no evidence that style-shifting funds are backward-looking. Instead, we show evidence that managers of style-shifting funds exhibit both style-timing ability and the skill of generating abnormal returns in new styles. The new styles that hedge funds shift to on average outperform their old styles by 0.76% and style-shifting funds on average outperform their new style benchmark by 1.10% over the subsequent 12-month horizon. Finally, we show that small funds, winner funds, and funds with net inflows are more likely to shift styles. This paper was ac...
Are Risk-Parity Managers at Risk Parity?
58-corpus The Journal of Portfolio Management (2013) | 16 citations | DOI |
return-based stylestyle analysis
Risk parity has become an accepted investment strategy, to some degree. Its main advantage is its use of risk allocation, as opposed to the capital allocation used by the traditional asset allocation approach. A balanced risk allocation provides true diversification; therefore risk parity should deliver better risk-adjusted return over time. Despite the acceptance and the fact that the term “risk parity” has been in use for almost ten years, the investment community seems confused about risk parity’s true definition. Is it just a quantitative risk-budgeting technique? Is it about operational leverage? Or is it about high exposures to fixed income and low exposures to equities? In this paper, the author aims to define the principle of risk parity investing. He then examines a sample of risk parity managers, using the return-based style analysis pioneered by William Sharpe. The results show that, according to the defined principle, a number of risk parity managers in our sam...
Fund governance and style drift
58-corpus Pacific-Basin Finance Journal (2016) | 14 citations | DOI |
style drift
No abstract available
Diseconomies of Scale in Quantitative and Fundamental Investment Styles
58-corpus Journal of Financial and Quantitative Analysis (2022) | 13 citations | DOI |
investment style [+fund]
Abstract We examine diseconomies of scale for two different investment approaches: quantitative and fundamental. Using separate account (SA) data where the investment approach is self-identified, we find that fundamental SAs exhibit greater diseconomies of scale than quantitative SAs. Looking at liquidity costs, we find that quantitative SAs hold more diversified portfolios of higher liquidity stocks than fundamental SAs, thereby reducing their expected liquidity costs. We also find that consistent with lower information processing/hierarchy costs, the speed of information diffusion is higher for quant SAs. Accounting for these differences helps to explain the differences in diseconomies of scale.
Active Technological Similarity and Mutual Fund Performance
58-corpus Journal of Financial and Quantitative Analysis (2021) | 13 citations | DOI |
active share
Abstract We examine whether superior understanding of technological innovation is a source of mutual fund managers’ ability to garner positive abnormal returns. Consistent with our hypothesis, the inter-quintile annual net Carhart alpha spread for mutual funds sorted on changes in the technological similarity (TS) of their portfolio holdings is 282 basis points. Moreover, because changes in TS are largely orthogonal to other predictors of mutual fund success (e.g., industry concentration, active share, fund R 2 , and lag fund alpha), changes in TS can be combined with other measures to help identify the best performing funds.
Diseconomies of Scale in Quantitative and Fundamental Investment Styles
53-corpus Journal of Financial and Quantitative Analysis () | 13 citations | DOI |
investment style [+fund]
No abstract available
Unbundling common style exposures, time variance and style timing of hedge fund beta
58-corpus Journal of Asset Management (2010) | 11 citations | DOI |
style timing
No abstract available
Active share: A blessing and a curse
58-corpus The Journal of Financial Research (2021) | 8 citations | DOI |
active share
Abstract We examine the implications of active mutual fund management across manager skill levels. We find that funds in the highest active share quintile outperform funds in the lowest active share quintile on a risk‐adjusted basis. When sorted on both active share and capture ratio, only managers with high skill and high active share experience positive future performance. Funds with high active share and low skill experience negative future risk‐adjusted returns, and these funds underperform all funds with low active share. We conclude that only funds with both high active management and high manager skill are preferable to index funds.
Constructing Peer Benchmarks for Mutual Funds
58-corpus The Journal of Portfolio Management (2008) | 8 citations | DOI |
return-based stylestyle analysis
Mutual fund managers are evaluated primarily on their ability to outperform their peers (rather than outperform a stated index), although managers have no ex ante information on investment decisions made by their competitors. A new approach for constructing benchmarks of peer managers uses return-based style analysis, deriving a peer group9s exposures to a predetermined set of market factors from past performance using an optimization algorithm. The objective of the optimization is to find weights for factors that result in the best possible replication of the mutual fund returns. Understanding the aggregate exposures of a manager9s peers (and the dispersion among them) allows managers to better assess the trade-off between the risk taken relative to their peers and the benefit expected (outperformance). The approach offers the advantages of more timely comparisons, the capacity to observe intraperiod shifts, and the ability to construct historical time series more readily...
The impact of ESG investment on fund performance: Evidence from mutual fund style drift
58-corpus Pacific-Basin Finance Journal (2025) | 4 citations | DOI |
style driftfund style
No abstract available
Mutual fund tournaments and fund Active Share
58-corpus Journal of Financial Stability (2022) | 4 citations | DOI |
active share
No abstract available
Understanding the dynamics of investment factors and exchange-traded funds performance in the U.S. market 2018-2022
58-corpus International Review (2023) | 3 citations | DOI |
investment style [+fund]
The increasing popularity of exchange-traded funds (ETFs) among retail and professional investors necessitates a deeper understanding of their value-creation process. Recognizing inconsistencies between stated investment strategies and portfolio exposures is crucial for appropriate rebalancing in accordance with investment policy statements. Against the backdrop of evolving investment factors during the pandemic and changing geopolitical circumstances, the performance of ETFs has undergone significant shifts. Analyzing the directional changes of prevailing investment factors within specific macro environments is essential for optimizing portfolios composed out of ETFs. This study has a dual objective: firstly, to comprehend the dominant investment factors and their dynamics in the U.S. market, and secondly, to evaluate the performance of ETFs that adhere to specific investment philosophies and strategies. To achieve these objectives, the Fama-French three and five-factor models were em...
Eurozone regulation bias in the active share measure
58-corpus International Review of Financial Analysis (2020) | 3 citations | DOI |
active share
No abstract available
Beyond active share: Boosting fund performance through common holdings with same-benchmark mutual funds
58-corpus International Review of Financial Analysis (2024) | 3 citations | DOI |
active share
No abstract available
Performance persistence and style consistency of Indian fixed income mutual funds – A longitudinal study
58-corpus International Review of Financial Analysis (2023) | 3 citations | DOI |
style consistency
No abstract available
Does Institutional Outperform Retail? Performance Comparisons of Mutual Funds Using Traditional Measures
58-corpus The BRC Academy Journal of Business (2018) | 1 citations | DOI |
style box
Institutional Mutual Funds cater to institutional investors and are different from retail mutual funds in several important aspects including a closer relationship between the fund manager and the better informed institutional investors who use sophisticated investment criteria, large and discrete inflow of funds, and much higher minimum initial and subsequent investment.There is a substantial amount of literature on retail mutual fund characteristics and performance, but despite their differences from retail funds, Institutional Mutual Funds have received little attention.In this study, Institutional Mutual Fund performance was evaluated in the nine different styles based on Morningstar's style box and compared to those of their counterparts using established traditional models and appropriate benchmarks.The results suggest institutional funds tend to outperform retail funds in the large-46 The BRC Academy Journal of Business Vol. 8, No. 1 cap categories in all measures; ...
The January seasonality and the performance of country-level value and momentum strategies
58-corpus Copernican Journal of Finance & Accounting (2015) | 1 citations | DOI |
window dressing
The study examines the turn-of-the-year effect in the country-level value and momentum strategies. We re-examine eight distinct value and momentum strategies within 78 markets in the 1995‑2015 period and we test their performance for the seasonal patterns. We find that during the last 20 years the value strategies performed particularly well in January and poor in December. On the contrary, the momentum strategies had high returns in December and low in January. These observations are consistent with the explanations of the January seasonality related to the tax loss selling and window dressing effects.
Hedge Funds: Do They Do What They Say They Do?
58-corpus Journal of Business & Economics Research (JBER) (2010) | 0 citations | DOI |
investment style [+fund]
<p class="MsoNoSpacing" style="text-align: justify; margin: 0in 0.5in 0pt; mso-pagination: none;"><span style="color: black; font-size: 10pt; mso-themecolor: text1;"><span style="font-family: Times New Roman;">The purpose of this research is two-fold, to determine if hedge funds follow their stated strategy styles and to examine how hedge funds&rsquo; strategy allocations evolve over time in response to changed economic and market conditions.<span style="mso-spacerun: yes;">&nbsp; </span>Our key advance is that we show that standard linear style models like that of Sharpe (1992) can be applied to hedge fund returns as long as the returns of the style indices in the model themselves display the nonlinear option-like characteristics of hedge fund returns.<span style="mso-spacerun: yes;">&nbsp; </span>For our research, the returns of our sample of Funds of Hedge Funds are strongly correlated to the returns of portfolios of hedge fund <...
Forced to be Active: Evidence from a Regulation Intervention
58-corpus Management Science (2025) | 0 citations | DOI |
closet index
Mutual funds known as closet indexers are marketed as active but actually operate as low-activity funds. Investors end up paying for full service but receiving only a part of it. Supervisory authorities around the world are considering ways to regulate these funds. In this context, we examine the impact of regulatory interventions by Scandinavian regulators. We compare the scrutinized Scandinavian funds with similar unaffected European funds. The findings suggest that the regulated Scandinavian funds preferred increased activity over fee reduction. Consequently, fund managers adopted more active management strategies, resulting in a significant 2% decrease in annual alpha. Therefore, the regulatory interventions resulted in unfavorable outcomes for investors. This paper was accepted by Bo Becker, finance. Funding: This research was supported by funding from the Varekrigsfond for forsikringsaktiviteter at NHH. Supplemental Material: The online appendix and data files are av...
Tax-motivated Management of Return on Mutual Fund: Evidence from the Korean Market
58-corpus Research Journal of Business Management (2016) | 0 citations | DOI |
window dressing
Background:The study analyzes whether a fund manager considers a tax factor in managing his or her fund and whether the two incentives affect tax driven fund management.Materials and Methods: This study investigates whether a fund manager adjusts rates of return on funds managed near the enforcement or the sunset of the temporary non-taxation rule by analyzing the distribution of rates of return on the funds near 0. In order to do that, this study utilizes the methodology, which analyzes the distribution of earnings reported by corporations.Also the logistic regression analysis is undertaken to analyze the incentives of management of the returns on the funds.In addition, the robustness check is performed to support the statistical results by expansion of time window and removal of window dressing effect.Results: The discontinuous time-series distribution of rates of return on the funds is found near the enforcement and the sunset of the non-taxation rule for the period fro...

NEEDS REVIEW Papers (46 found)

Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds
53-corpus Review of Financial Studies () | 1320 citations | DOI |
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Hedge Fund Benchmarks: A Risk-Based Approach
53-corpus Financial Analysts Journal () | 1060 citations | DOI |
No abstract available
The Eco-Efficiency Premium Puzzle
53-corpus Financial Analysts Journal () | 891 citations | DOI |
{'Does': [0], 'socially': [1, 133], 'responsible': [2, 134, 234, 376], 'investing': [3, 135], '(sri)': [4], 'lead': [5], 'to': [6, 33, 148, 166, 193, 257, 270, 278, 410, 485, 503], 'inferior': [7], 'or': [8, 96, 228, 338], 'superior': [9, 43], 'portfolio': [10, 68, 296, 378, 435, 439], 'performance?': [11], 'this': [12, 325, 383], 'study': [13, 55, 173], 'focused': [14, 174], 'on': [15, 46, 175, 215, 394, 445], 'the': [16, 26, 34, 54, 79, 100, 112, 130, 152, 167, 186, 194, 216, 236, 240, 264, 271, 280, 288, 312, 346, 362, 386, 423, 428, 433, 437, 453, 458, 462, 469, 487, 492, 507, 511], 'concept': [17, 131, 177], 'of': [18, 24, 107, 115, 126, 132, 141, 155, 184, 219, 239, 283, 298, 365, 385, 430, 455, 472, 513], '“eco-efficiency,”': [19, 179], 'which': [20, 180, 398], 'can': [21, 117, 181, 372, 474], 'be': [22, 87, 118, 182, 329, 350, 475], 'thought': [23, 183], 'as': [25, 185], 'economic': [27, 187, 363], 'value': [28, 49, 188, 205], 'a': [29, 123, 176, 189, 225, 294, 446, 514], 'comp...
Returns to Shareholder Activism: Evidence from a Clinical Study of the Hermes UK Focus Fund
53-corpus Review of Financial Studies () | 436 citations | DOI |
{'This': [0], 'article': [1], 'reports': [2], 'a': [3], 'unique': [4], 'analysis': [5], 'of': [6, 52, 107], 'private': [7, 64], 'engagements': [8, 35, 92], 'by': [9, 22, 28, 41, 101], 'an': [10], 'activist': [11], 'fund.': [12], 'It': [13], 'is': [14], 'based': [15], 'on': [16, 34, 74, 105], 'data': [17], 'made': [18], 'available': [19], 'to': [20], 'us': [21], 'Hermes,': [23], 'the': [24, 29, 57], 'fund': [25, 58, 78], 'manager': [26], 'owned': [27], 'British': [30], 'Telecom': [31], 'Pension': [32], 'Scheme,': [33], 'with': [36, 48, 91], 'management': [37], 'in': [38, 70], 'companies': [39], 'targeted': [40], 'its': [42], 'UK': [43], 'Focus': [44], 'Fund.': [45], 'In': [46], 'contrast': [47], 'most': [49], 'previous': [50], 'studies': [51, 71], 'activism,': [53], 'we': [54, 83], 'report': [55], 'that': [56, 66, 85], 'executes': [59], 'shareholder': [60], 'activism': [61], 'predominantly': [62], 'through': [63], 'interventions': [65], 'would': [67], 'be': [68], 'unobservable': [69], '...
Shaped by Booms and Busts: How the Economy Impacts CEO Careers and Management Styles
53-corpus Review of Financial Studies () | 393 citations | DOI |
{'We': [0], 'show': [1], 'that': [2, 91], 'economic': [3], 'conditions': [4], 'when': [5], 'managers': [6], 'enter': [7], 'the': [8, 72, 75, 92, 99], 'labor': [9], 'market': [10], 'have': [11, 38], 'long-run': [12], 'effects': [13, 65], 'on': [14], 'their': [15, 24], 'career': [16], 'paths': [17], 'and': [18, 49, 51, 56, 59, 101], 'managerial': [19], 'styles.': [20], 'Managers': [21], 'who': [22], 'began': [23], 'careers': [25], 'during': [26], 'recessions': [27], 'become': [28], 'CEOs': [29, 80], 'more': [30, 39, 53], 'quickly,': [31], 'but': [32], 'at': [33], 'smaller': [34, 85], 'firms.': [35], 'They': [36], 'also': [37], 'conservative': [40], 'styles,': [41], 'such': [42], 'as': [43], 'lower': [44, 57], 'investment': [45], 'in': [46, 84], 'capital': [47, 61], 'expenditures': [48], 'research': [50], 'development,': [52], 'cost': [54], 'cutting,': [55], 'leverage': [58], 'working': [60], 'needs.': [62], 'These': [63], 'recession': [64], 'appear': [66], 'to': [67, 82, 98], 'be': [68],...
How Smart Are the Smart Guys? A Unique View from Hedge Fund Stock Holdings
53-corpus Review of Financial Studies () | 322 citations | DOI |
No abstract available
Asset-Based Style Factors for Hedge Funds
53-corpus Financial Analysts Journal () | 284 citations | DOI |
No abstract available
Does Historical Performance Predict Future Performance?
53-corpus Financial Analysts Journal () | 258 citations | DOI |
{'An': [0], 'investigation': [1], 'of': [2, 5, 44, 53, 71, 100, 119], 'the': [3, 77, 116], 'persistence': [4, 70, 88, 95, 112], 'mutual': [6], 'fund': [7, 31, 61, 92, 101], 'performance': [8, 16, 72], 'indicates': [9], 'that': [10], 'investors': [11], 'need': [12], 'more': [13], 'than': [14], 'past': [15], 'numbers': [17], 'to': [18, 29, 56, 68, 76], 'pick': [19], 'future': [20], 'winners.': [21], 'In': [22], 'this': [23, 111], 'study,': [24], 'style': [25, 35], 'analysis': [26, 81], 'was': [27, 40], 'used': [28], 'separate': [30], 'total': [32, 45], 'returns': [33], 'into': [34], 'and': [36, 49, 82, 103, 125], 'selection': [37, 47, 54, 57], 'components.': [38], 'Performance': [39], 'defined': [41], 'in': [42], 'terms': [43], 'returns,': [46, 48], 'information': [50], 'ratios': [51], '(ratios': [52], 'return': [55], 'risk).': [58], 'For': [59], 'each': [60], 'type,': [62], 'two': [63], 'out-of-sample': [64], 'periods': [65], 'were': [66], 'established': [67], 'investigate': [69], 'from...
Portfolio Optimization with Tracking-Error Constraints
53-corpus Financial Analysts Journal () | 245 citations | DOI |
{'AbstractThis': [0], 'article': [1, 83], 'explores': [2], 'the': [3, 35, 44, 57, 94, 108, 124, 127, 145, 148, 159, 177, 180, 183, 187, 201, 205, 213, 227, 256, 264, 268, 272, 281, 292, 300, 316, 361, 382, 398, 403, 409, 413, 433, 449, 461, 468, 477, 488, 491, 512, 531, 535, 544, 547, 572, 575, 582, 589, 601, 685], 'risk': [4, 270, 289, 342, 495, 554, 556, 640], 'and': [5, 417, 435, 626], 'return': [6, 327], 'relationship': [7], 'of': [8, 26, 46, 103, 107, 111, 126, 150, 161, 179, 182, 207, 215, 218, 247, 271, 299, 319, 324, 360, 429, 437, 448, 460, 463, 487, 493, 514, 524, 530, 534, 546, 563, 574], 'active': [9, 39, 128, 184, 265, 365, 399, 469, 548, 590], 'portfolios': [10, 72, 87], 'subject': [11], 'to': [12, 63, 152, 229, 243, 291, 328, 475, 481, 505, 607, 622, 661, 672], 'a': [13, 31, 48, 101, 115, 153, 163, 174, 233, 244, 309, 501, 520, 539, 558], 'constraint': [14, 116, 473, 502, 516, 540, 551, 610, 665], 'on': [15, 93, 117, 136, 176, 261, 303, 311, 348, 397, 467, 552, 611, 628,...
Hedge-Fund Benchmarks: Information Content and Biases
53-corpus Financial Analysts Journal () | 219 citations | DOI |
No abstract available
Morningstar Ratings and Mutual Fund Performance
53-corpus Journal of Financial and Quantitative Analysis () | 210 citations | DOI |
No abstract available
Does Prior Performance Affect a Mutual Fund’s Choice of Risk? Theory and Further Empirical Evidence
53-corpus Journal of Financial and Quantitative Analysis () | 195 citations | DOI |
{'Abstract': [0], 'Recent': [1], 'empirical': [2], 'studies': [3], 'of': [4, 24, 47, 54, 87, 98, 133, 141], 'mutual': [5, 102, 113, 126], 'fund': [6, 16, 21, 103], 'competition': [7], 'examine': [8], 'the': [9, 15, 20, 48, 64, 81, 85, 88, 99, 116, 130, 138], 'relation': [10, 100], 'between': [11, 101], 'a': [12, 30, 41, 55, 61, 123], 'fund’s': [13, 49, 65, 89], 'performance,': [14], 'manager’s': [17, 22, 31], 'compensation,': [18], 'and': [19, 95, 105], 'choice': [23, 33], 'portfolio': [25, 32], 'risk.': [26], 'This': [27, 147], 'paper': [28, 92], 'models': [29], 'for': [34, 108, 125, 153], 'compensation': [35, 59], 'rules': [36], 'that': [37, 53], 'can': [38], 'be': [39], 'either': [40], 'concave,': [42], 'linear,': [43], 'or': [44], 'convex': [45], 'function': [46], 'performance': [50, 72, 76, 104, 145], 'relative': [51, 71], 'to': [52, 83, 118, 128], 'benchmark.': [56], 'For': [57], 'particular': [58], 'structures,': [60], 'manager': [62, 82], 'increases': [63], '“tracking': [66], '...
A Trading Volume Benchmark: Theory and Evidence
53-corpus Journal of Financial and Quantitative Analysis () | 182 citations | DOI |
{'This': [0, 23], 'paper': [1], 'provides': [2], 'a': [3, 12, 44, 88, 123, 178], 'theoretical': [4], 'rebalancing': [5, 74], 'benchmark': [6, 86, 102, 149, 162], 'for': [7, 32, 157, 181], 'trading': [8, 15, 34, 40, 63, 92, 141, 147, 156, 186], 'volume': [9], 'that': [10, 65, 96, 144, 159, 175], 'delivers': [11], 'connection': [13], 'between': [14], 'activity': [16, 35], 'in': [17, 154], 'individual': [18, 169], 'stocks': [19], 'and': [20, 109, 112], 'market-wide': [21, 33], 'volume.': [22, 41], 'model': [24, 172], 'supports': [25], 'the': [26, 51, 54, 59, 69, 73, 85, 101, 127, 140, 161, 184], 'empirical': [27], 'use': [28], 'of': [29, 46, 53, 58, 72, 82, 90, 129, 142, 168], 'an': [30], 'adjustment': [31], 'when': [36], 'filtering': [37, 182], 'out': [38, 183], 'normal': [39], 'Data': [42], 'on': [43, 126], 'sample': [45, 60], 'large': [47], 'NYSE/AMEX': [48], 'firms': [49, 61, 143, 158], 'support': [50], 'usefulness': [52], 'benchmark.': [55], 'While': [56], '20%': [57], 'exhibit': [62...
Herding in the German Mutual Fund Industry
53-corpus European Financial Management () | 178 citations | DOI |
No abstract available
Mutual Fund Competition, Managerial Skill, and Alpha Persistence
53-corpus Review of Financial Studies () | 150 citations | DOI |
No abstract available
Mutual Fund Performance and Manager Style
53-corpus Financial Analysts Journal () | 146 citations | DOI |
{'In': [0], 'this': [1, 45], 'analysis': [2], 'of': [3, 51, 70, 81], 'the': [4, 52, 59, 86, 92], 'relationship': [5], 'between': [6], 'equity': [7, 34], 'mutual': [8], 'fund': [9], 'performance': [10, 40, 83], 'and': [11, 63, 90], 'manager': [12], 'style,': [13, 35], 'two': [14], 'questions': [15], 'are': [16, 31, 47], 'addressed.': [17], 'First,': [18], 'does': [19, 36], 'any': [20, 37], 'investment': [21], 'style': [22, 38], 'generate': [23], 'abnormal': [24, 56, 68], 'returns': [25, 57, 69], 'on': [26], 'average?': [27], 'Second,': [28], 'when': [29], 'funds': [30, 65, 89], 'grouped': [32], 'by': [33], 'exhibit': [39], 'persistence?': [41], 'The': [42], 'answers': [43], 'from': [44], 'study': [46], 'as': [48], 'follows:': [49], 'None': [50], 'styles': [53], 'earned': [54], 'positive': [55], 'during': [58], '1965–98': [60], 'sample': [61], 'period,': [62], 'value': [64], 'realized': [66], 'negative': [67], 'about': [71], '2.75': [72], 'percentage': [73], 'points': [74], 'a': [75], 'y...
Global Hedge Funds: Risk, Return, and Market Timing
53-corpus Financial Analysts Journal () | 133 citations | DOI |
{'AbstractWe': [0], 'examined': [1], 'the': [2, 18, 43, 104, 113, 129, 137, 145, 158, 165, 199, 206, 231, 280, 289, 320, 344, 347, 386, 400, 512, 553, 562], 'performance': [3, 93, 188, 411, 415, 427, 467], 'of': [4, 115, 140, 148, 160, 173, 185, 215, 243, 268, 340, 388, 432, 457, 483, 564], '115': [5, 149], 'global': [6, 27, 150, 244, 248, 252, 256, 263, 327], 'equity-based': [7, 151, 222], 'hedge': [8, 28, 72, 105, 117, 141, 152, 161, 174, 186, 216, 245, 328, 341, 360, 459, 489, 506], 'funds': [9, 153, 175, 223, 329, 342, 348, 361, 479, 490, 507], 'with': [10, 444], 'reference': [11, 197], 'to': [12, 122, 128, 156, 193, 198, 212, 299, 363, 430, 441, 464, 510, 521], 'their': [13, 178, 226, 312], 'target': [14, 179, 208, 238], 'geographical': [15, 180], 'markets': [16, 209, 239], 'in': [17, 230, 325, 343, 447], 'seven-year': [19], 'period': [20], '1994–2000.': [21], 'Several': [22], 'results': [23, 316, 475], 'are': [24, 55, 380], 'noteworthy.': [25], 'First,': [26], 'fund': [29, 118, 1...
The Mutual Fund Industry 60 Years Later: For Better or Worse?
53-corpus Financial Analysts Journal () | 119 citations | DOI |
{'AbstractThe': [0], 'mutual': [1, 54, 78, 92, 102, 106, 251, 291, 301, 322, 357, 366, 405], 'fund': [2, 19, 55, 79, 93, 103, 107, 173, 230, 292, 302, 323, 351, 358, 367, 406], 'industry': [3, 80, 108, 138, 303, 324, 384, 396, 416], 'has': [4, 109, 150, 214, 325], 'undergone': [5, 110], 'tremendous': [6, 111, 389], 'change': [7, 112], 'in': [8, 76, 86, 148, 178, 375, 382, 394], 'the': [9, 26, 29, 34, 62, 77, 87, 96, 116, 125, 129, 191, 201, 216, 219, 245, 248, 300, 327, 338, 347, 395, 402, 422], 'past': [10], '60': [11], 'years.': [12], 'Total': [13, 356], 'assets,': [14], 'number': [15, 130, 234], 'of': [16, 28, 36, 45, 101, 131, 163, 171, 204, 218, 235, 265, 286, 295, 310, 350, 391], 'funds,': [17], 'and': [18, 33, 83, 98, 122, 128, 167, 189, 226, 237, 369, 424], 'costs': [20, 349], 'have': [21, 40, 57, 73, 90, 241, 271, 353, 360, 372, 413], 'increased': [22, 361, 373], 'exponentially,': [23], 'whereas': [24], 'both': [25], 'duration': [27, 35], "funds'": [30], 'portfolio': [31], 'ho...
Survival, Look-Ahead Bias, and Persistence in Hedge Fund Performance
53-corpus Journal of Financial and Quantitative Analysis () | 119 citations | DOI |
No abstract available
Side-by-Side Management of Hedge Funds and Mutual Funds
53-corpus Review of Financial Studies () | 113 citations | DOI |
{'We': [0, 15, 22], 'examine': [1], 'situations': [2], 'where': [3], 'the': [4, 53, 60, 111], 'same': [5], 'fund': [6, 76, 95, 119, 131], 'manager': [7], 'simultaneously': [8], 'manages': [9], 'mutual': [10, 29, 75, 118, 130], 'funds': [11, 30], 'and': [12, 31, 46, 59], 'hedge': [13, 33, 94], 'funds.': [14, 34], 'refer': [16], 'to': [17, 44, 89, 134], 'this': [18, 37, 84], 'as': [19], 'side-by-side': [20, 74, 93], 'management.': [21], 'document': [23], '344': [24], 'such': [25], 'cases': [26], 'involving': [27], '693': [28], '538': [32], 'Proponents': [35], 'of': [36, 115, 126, 136, 138, 150], 'practice': [38, 61], 'argue': [39, 51], 'that': [40, 52, 73, 113], 'it': [41], 'is': [42, 57], 'essential': [43], 'hire': [45], 'retain': [47], 'star': [48, 90], 'performers.': [49, 91], 'Detractors': [50], 'temptation': [54], 'for': [55, 129, 153], 'abuse': [56], 'high,': [58], 'should': [62], 'be': [63], 'banned.': [64], 'Our': [65], 'analysis': [66], 'based': [67], 'on': [68, 100, 110, 148], ...
A Cross-Sectional Machine Learning Approach for Hedge Fund Return Prediction and Selection
53-corpus Management Science () | 100 citations | DOI |
No abstract available
Ratings-Driven Demand and Systematic Price Fluctuations
53-corpus Review of Financial Studies () | 78 citations | DOI |
No abstract available
The Life Cycle of Hedge Funds: Fund Flows, Size, Competition, and Performance
53-corpus Quarterly Journal of Finance () | 71 citations | DOI |
No abstract available
Allocating between Active and Passive Management
53-corpus Financial Analysts Journal () | 69 citations | DOI |
{'With': [0], 'the': [1, 6, 10, 31, 33, 48, 56, 69, 87], 'recent': [2], 'difficulty': [3], 'in': [4, 38, 64], 'beating': [5], 'S&P': [7], '500': [8], 'Index,': [9], 'debate': [11], 'over': [12], 'active': [13, 51], 'versus': [14], 'passive': [15], 'investing': [16], 'has': [17], 'risen': [18], 'to': [19, 42, 92, 105], 'a': [20, 27, 75, 82], 'new': [21], 'level': [22], 'of': [23, 50, 62, 78, 90], 'importance.': [24], 'We': [25], 'provide': [26], 'framework': [28], 'for': [29, 68], 'analyzing': [30, 55], 'trade-off': [32], 'typical': [34], 'pension': [35], 'fund': [36], 'faces': [37], 'deciding': [39], 'how': [40], 'much': [41], 'index.': [43], 'Our': [44], 'analysis': [45], 'gets': [46], 'at': [47], 'root': [49], 'performance—stock-picking': [52], 'skill.': [53], 'After': [54], 'performance': [57], 'associated': [58], 'with': [59], 'various': [60, 65], 'degrees': [61], 'skill': [63, 80, 96], 'equity': [66], 'styles': [67], '1985–97': [70], 'period,': [71], 'we': [72], 'found': [73], 'th...
Toward ESG Alpha: Analyzing ESG Exposures through a Factor Lens
53-corpus Financial Analysts Journal () | 63 citations | DOI |
No abstract available
A Matter of (Relational) Style: Loan Officer Consistency and Exchange Continuity in Microfinance
53-corpus Management Science () | 62 citations | DOI |
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Do Mutual Fund Investors Overweight the Probability of Extreme Payoffs in the Return Distribution?
53-corpus Journal of Financial and Quantitative Analysis () | 55 citations | DOI |
No abstract available
Style and Skill: Hedge Funds, Mutual Funds, and Momentum
53-corpus Management Science () | 52 citations | DOI |
No abstract available
A More Predictive Index of Market Sentiment
53-corpus Journal of Behavioral Finance () | 40 citations | DOI |
No abstract available
Deviations from Norms and Informed Trading
53-corpus Journal of Financial and Quantitative Analysis () | 39 citations | DOI |
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On the Style-Based Feedback Trading of Mutual Fund Managers
53-corpus Journal of Financial and Quantitative Analysis () | 35 citations | DOI |
No abstract available
The Prevalence of the Disposition Effect in Mutual Funds’ Trades
53-corpus Journal of Financial and Quantitative Analysis () | 33 citations | DOI |
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Brain Drain: Are Mutual Funds Losing Their Best Minds?
53-corpus Quarterly Journal of Finance () | 33 citations | DOI |
No abstract available
The Career Paths of Mutual Fund Managers: The Role of Merit
53-corpus Financial Analysts Journal () | 32 citations | DOI |
No abstract available
Style Management in Equity Country Allocation
53-corpus Financial Analysts Journal () | 32 citations | DOI |
No abstract available
Mutual Fund Trading Style and Bond Market Fragility
53-corpus Review of Financial Studies () | 26 citations | DOI |
No abstract available
The Liquidity Style of Mutual Funds
53-corpus Financial Analysts Journal () | 26 citations | DOI |
No abstract available
Irrational Mutual Fund Managers: Explaining Differences in Their Behavior
53-corpus Journal of Behavioral Finance () | 26 citations | DOI |
No abstract available
Transaction Costs, Portfolio Characteristics, and Mutual Fund Performance
53-corpus Management Science () | 26 citations | DOI |
No abstract available
Mutual Fund Shareholder Letters: Flows, Performance, and Managerial Behavior
53-corpus Management Science () | 24 citations | DOI |
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Explaining After-Tax Mutual Fund Performance
53-corpus Financial Analysts Journal () | 24 citations | DOI |
No abstract available
Performance Attribution using an APT with Prespecified Macrofactors and Time-Varying Risk Premia and Betas
53-corpus Journal of Financial and Quantitative Analysis () | 20 citations | DOI |
No abstract available
Custom Factor Attribution
53-corpus Financial Analysts Journal () | 15 citations | DOI |
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Horses for Courses: Fund Managers and Organizational Structures
53-corpus Journal of Financial and Quantitative Analysis () | 14 citations | DOI |
No abstract available
Looking under the Hood of Active Credit Managers
53-corpus Financial Analysts Journal () | 11 citations | DOI |
No abstract available
Discontinued Positive Feedback Trading and the Decline of Return Predictability
53-corpus Journal of Financial and Quantitative Analysis () | 9 citations | DOI |
No abstract available