全球智库信息集成服务系统(G2TT): DP13395 Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP13395
	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
URL	https://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.