Our paper focuses on mutual fund characteristics associated with periods of extreme performance. We find funds with either positive (hot-hand) or negative (icy-hand) persistence tend to have portfolio similarities consistent with riskier positions: compared to no-streak funds they hold less...

In this paper, we investigate whether fund-specific risk helps explain performance persistence in private equity funds, using detailed deal-level cash flow information at both the fund and deal levels. We further extend existing findings to international evidence on buyout and venture capital...

We use portfolio holdings data to examine the performance of 143 global equity funds over the period 2002 to 2012. We find that the average global equity manager outperforms their benchmark by 1.2% to 1.4% per annum before fees. Attribution analysis reveals that the prime source of excess return...

Consistent with the argument that portfolio disclosure reveals "trade secrets", a difference-in-differences estimation suggests that there is a drop in fund performance after a hedge fund begins filing Form 13F, as well as an increase in return correlations with other funds in the same...

The tournament hypothesis of Brown et al. (1996) posits that managers of poorly performing funds actively increase portfolio risk in the second half of the year. At the same time, it is a well-established stylized fact that stock returns and the subsequent return standard deviation are...

We investigate the performance of the German equity mutual fund industry over 20 years (monthly data 1990-2009) using the false discovery rate (FDR) to examine both model selection and performance measurement. When using the Fama-French three factor (3F) model (with no market timing) we find at...

We evaluate the performance of artificial intelligence (AI)-powered mutual funds. We find that these funds do not outperform the market per se. However, a comparison shows that AI-powered funds significantly outperform their human-managed peer funds. We further show that the outperformance of AI...

Apparently “there is no substitute for experience”. This and similar phrases are often heard in the worlds of politics, business, sport and others. It is the sort of proposition that makes sense to people. However, while the performance of actively managed funds has attracted a great deal of...

The majority of financial trades take place in open and highly regulated markets. As an alternative venue, large asset managers sometimes offset the trades of affiliated funds in an internal market, without relying on external facilities or supervision. In this paper, we employ institutional...

We use portfolio holdings data to examine the performance of 143 global equity funds over the period 2002 to 2012. We find that the average global equity manager outperforms their benchmark by 1.2% to 1.4% per annum before fees. Attribution analysis reveals that the prime source of excess return...