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来源类型Discussion paper
规范类型论文
来源IDDP13395
DP13395 Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?
Martin Lettau; Sydney Ludvigson; Paulo Manoel
发表日期2018-12-14
出版年2018
语种英语
摘要This paper provides a comprehensive analysis of portfolios of active mutual funds, ETFs and hedge funds through the lens of risk (anomaly) factors. We show that that these funds do not systematically tilt their portfolios towards profitable factors, such as high book-to-market (BM) ratios, high momentum, small size, high profitability and low investment growth. Strikingly, there are virtually no high-BM funds in our sample while there are many low-BM “growth” funds. Portfolios of “growth” funds are concentrated in low BM-stocks but “value” funds hold stocks across the entire BM spectrum In fact, most “value” funds hold a higher proportion of their portfolios in low-BM (“growth”) stocks than in high-BM (“value”) stocks. While there are some micro/small/mid-cap funds, the vast majority of mutual funds hold very large stocks. But the distributions of mutual fund momentum, profitability and investment growth are concentrated around market average with little variation across funds. The characteristics distributions of ETFs and hedge funds do not differ significantly from the those of mutual funds. We conclude that the characteristics of mutual fund portfolios raises a number of questions about why funds do not exploit well-known return premia and how their portfolio choices affects asset prices in equilibrium.
主题Financial Economics
关键词Mutual funds Characteristics Value puzzle Portfolio composition Anomalies
URLhttps://cepr.org/publications/dp13395-0
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/542205
推荐引用方式
GB/T 7714
Martin Lettau,Sydney Ludvigson,Paulo Manoel. DP13395 Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?. 2018.
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