We conduct a volatility decomposition to identify the source of performance differences between low volatility and high volatility mutual funds. Higher return covariances between fund holdings is associated with more fund-level exposure to the idiosyncratic volatility effect. The average...

We use the geographically-constrained holdings of single-state municipal-bond mutual funds in order to compare the performance of local and non-local mutual fund managers. In general, we find that local managers display worse performance and significantly different risk profiles than non-local...