Classifying mandatory 13F stock-holding filings by manager type reveals that hedge fund strategies are mostly contrarian, while mutual fund strategies are largely trend following. The only institutional performers — the 2/3 of hedge fund managers that are contrarian — earn alpha of 2.4% per...

Classifying mandatory 13F stockholding filings by manager type reveals that hedge fund strategies are mostly contrarian, while mutual fund strategies are largely trend following. The only institutional performers---the 2/3 of hedge fund managers that are contrarian---earn alpha of 2.4% per year....

We study the interdependencies between transaction costs, portfolio characteristics, and mutual fund performance. Using a novel dataset of actual mutual fund trades, we find that, controlling for investment style, larger funds realize lower percentage transaction costs than smaller funds. Larger...

Bisherige Studien zur Performance von Investmentfonds kommen zu dem Schluss, dass Anleger durch eine Investition in aktiv verwaltete Fonds nicht mehr (sondern tendenziell weniger) als durch eine passive Anlage in die Benchmark verdienen. Selbst eine Investition in die Fonds mit den in der...

This paper analyzes the performance of portfolio strategies that invest in noload, open-end U.S. domestic equity mutual funds, incorporating predictability in (i) manager skills, (ii) fund risk-loadings, and (iii) benchmark returns. Predictability in manager skills is found to be the dominant...