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Starting on the Wrong Foot: Seasonality in Mutual Fund Performance

Research output: Contribution to conference - Without ISBN/ISSN Conference paperpeer-review

Published

Standard

Starting on the Wrong Foot : Seasonality in Mutual Fund Performance. / Brown, Stephen J.; Sotes-Paladino, Juan; Yao, Yaqiong; Wang, Jiaguo.

2016. Paper presented at The 28th Asian FA Annual Meeting 2016, Bangkok, Thailand.

Research output: Contribution to conference - Without ISBN/ISSN Conference paperpeer-review

Harvard

Brown, SJ, Sotes-Paladino, J, Yao, Y & Wang, J 2016, 'Starting on the Wrong Foot: Seasonality in Mutual Fund Performance', Paper presented at The 28th Asian FA Annual Meeting 2016, Bangkok, Thailand, 26/06/16 - 28/06/16.

APA

Brown, S. J., Sotes-Paladino, J., Yao, Y., & Wang, J. (2016). Starting on the Wrong Foot: Seasonality in Mutual Fund Performance. Paper presented at The 28th Asian FA Annual Meeting 2016, Bangkok, Thailand.

Vancouver

Brown SJ, Sotes-Paladino J, Yao Y, Wang J. Starting on the Wrong Foot: Seasonality in Mutual Fund Performance. 2016. Paper presented at The 28th Asian FA Annual Meeting 2016, Bangkok, Thailand.

Author

Brown, Stephen J. ; Sotes-Paladino, Juan ; Yao, Yaqiong ; Wang, Jiaguo. / Starting on the Wrong Foot : Seasonality in Mutual Fund Performance. Paper presented at The 28th Asian FA Annual Meeting 2016, Bangkok, Thailand.

Bibtex

@conference{7c1a1bba84fd4113a1b045f4ba2d53a5,
title = "Starting on the Wrong Foot: Seasonality in Mutual Fund Performance",
abstract = "We document a marked seasonal pattern in the aggregate underperformance of active mutual funds. On average, a value-weighted portfolio of active funds underperforms the market and other benchmark portfolios in the first month of a quarter only. This intra-quarter pattern remains significant across fund size and investment style categories. It is partially consistent with tournament-like behavior (quarter-end NAV inflation and window dressing) by mutual funds, but bears limited to no relation with systematic time variation in microstructure biases, investors{\textquoteright} flows or cash distributions. Our results pose a challenge to existing explanations of the mutual funds{\textquoteright} underperformance puzzle.",
author = "Brown, {Stephen J.} and Juan Sotes-Paladino and Yaqiong Yao and Jiaguo Wang",
year = "2016",
month = jun,
language = "English",
note = "The 28th Asian FA Annual Meeting 2016 ; Conference date: 26-06-2016 Through 28-06-2016",
url = "https://www.set.or.th/asianfa2016/index.html",

}

RIS

TY - CONF

T1 - Starting on the Wrong Foot

T2 - The 28th Asian FA Annual Meeting 2016

AU - Brown, Stephen J.

AU - Sotes-Paladino, Juan

AU - Yao, Yaqiong

AU - Wang, Jiaguo

PY - 2016/6

Y1 - 2016/6

N2 - We document a marked seasonal pattern in the aggregate underperformance of active mutual funds. On average, a value-weighted portfolio of active funds underperforms the market and other benchmark portfolios in the first month of a quarter only. This intra-quarter pattern remains significant across fund size and investment style categories. It is partially consistent with tournament-like behavior (quarter-end NAV inflation and window dressing) by mutual funds, but bears limited to no relation with systematic time variation in microstructure biases, investors’ flows or cash distributions. Our results pose a challenge to existing explanations of the mutual funds’ underperformance puzzle.

AB - We document a marked seasonal pattern in the aggregate underperformance of active mutual funds. On average, a value-weighted portfolio of active funds underperforms the market and other benchmark portfolios in the first month of a quarter only. This intra-quarter pattern remains significant across fund size and investment style categories. It is partially consistent with tournament-like behavior (quarter-end NAV inflation and window dressing) by mutual funds, but bears limited to no relation with systematic time variation in microstructure biases, investors’ flows or cash distributions. Our results pose a challenge to existing explanations of the mutual funds’ underperformance puzzle.

M3 - Conference paper

Y2 - 26 June 2016 through 28 June 2016

ER -