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Just over 20 years have passed since the publication of Carhart's landmark 1997 study on mutual funds. Its conclusion—that the data did “not support the existence of skilled or informed mutual fund portfolio managers”—was the capstone of an academic literature beginning with Jensen...
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One dollar in purchases or redemptions generates an average cost of $0.006 for U.S. equity mutual funds during the period 1997-2009, approximately 70% lower than prior estimates derived from older data. However, large cross-sectional differences exist between funds. Many funds have costs near...
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We make use of a unique dataset of SEC Form N-SAR filings to examine the gross flows of U.S. bond funds. We find that gross inflows and outflows average around 4% of TNA per month, but net flows average only 0.26%. When modeling these flows, we see that, like equity funds, bond fund investors...
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Mutual fund managers should choose to increase the concentration of their portfolio when they possess information of great enough expected value to offset the risks of increased concentration. Consistent with that idea, we find that fund performance improves after concentration increases....
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We introduce a new holdings-based procedure to identify whether a mutual fund has a benchmark discrepancy, which we define as a benchmark other than the prospectus benchmark best matching a fund's investment strategy. We find that funds with a benchmark discrepancy tend to be riskier than their...
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