New Positions in Mutual Fund Portfolios: Implications for Fund Alpha

Viktoriya Lantushenko () and Edward Nelling ()
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Viktoriya Lantushenko: Saint Joseph’s University
Edward Nelling: Drexel University

Journal of Financial Services Research, 2020, vol. 58, issue 2, No 4, 198 pages

Abstract: Abstract This study introduces a new measure of fund activeness that predicts future fund abnormal returns. This measure is defined as the “return on new portfolio holdings.” It is constructed as the return on stocks that a fund has not held before. We find that the return on these positions drives future fund alpha. On average, a one-standard deviation increase in the return on new holdings increases fund alpha by approximately 0.39 to 0.49 percent per year. Overall, our findings provide new insights on the value of active management.

Keywords: Mutual funds; Institutional investors; Fund alpha (search for similar items in EconPapers)
JEL-codes: G11 G23 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1007/s10693-019-00329-1

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