We propose a novel Trade Motivation Matrix (TMM) that allows differentiating funds' valuation-motivated (VM) and liquidity-motivated (LM) trades on single trade level. It thus enables analyses of stock-picking skill on three levels: trade, stock, and fund. On trade level, we find significant...

This paper is the first to identify and classify virtually all investment instruments held by equity funds from their portfolio holdings. This enables us to analyze the effects of long and short exposures from different complex instruments including short sales, options and futures but also...

We are the first to analyze bond mutual funds' permission and use of complex investment practices like derivatives, restricted securities and securities lending. Based on unique regulatory information from the SEC's N-SAR filings, we show that most complex investments do not affect fund...

This paper is the first to quantify and analyze the dynamics of market risk (MR) and interest rate risk (IRR) of the system of US bank holding companies (BHCs) based on time-varying risk exposures estimated using the Kalman filter. These dynamics can be explained to a considerable degree by the...

This study introduces an innovative approach to measuring the “style-shifting activity” (SSA) of mutual funds using daily returns. Applying our new measure to a comprehensive sample of 2631 active US equity mutual funds, we show (i) that SSA predicts future performance, especially for...

This study investigates the characteristics and performance of separately managed accounts (SAs), focusing on differences between retail and institutional investor types. It finds that institutional SAs outperform retail and mixed SAs in terms of risk‐adjusted returns, primarily driven by...

After analyzing portfolio differences between separate account-mutual fund twins, we find that dissimilar “fraternal twins” show significantly lower joint performance than “identical twins.” This finding is consistent with fraternal twins competing for the limited attention of a manager...

Despite the nonlinearity in the relation between interest rate risk and expected return, bond fund performance regressions usually lever expected benchmark returnslinearly to the fund’srisk. This causes systematic miscalculations of expected passive style returns and active alphas. I propose a...

Bond fund performance regressions usually lever expected benchmark returns linearly to the fund’s risk exposure. The relation of expected return and interest rate risk is, however, nonlinear. This leads to miscalculations of expected passive fund returns and active performance. I propose a...