EconPapers    
Economics at your fingertips  
 

Characteristics of mutual funds with extreme performance

Jason P. Berkowitz, Patrick J. Schorno and Dmitry A. Shapiro

Review of Financial Economics, 2017, vol. 34, issue C, 50-60

Abstract: We focus on mutual fund characteristics associated with periods of extreme performance. We find that funds with either positive (hot-hand) or negative (icy-hand) persistence tend to have portfolio similarities consistent with riskier positions: compared to no-streak funds, they hold fewer stocks, invest more in top ten holdings, and have a higher portfolio beta. Also both hot-hand and icy-hand funds have significantly higher asset turnover than benchmark funds. Icy-hand funds tend to be more extreme with riskier positions and asset turnover than hot-hand funds. At the same time, icy-hand (hot-hand) funds tend to have larger (smaller) management teams, and are less (more) likely to be managed by one person. Finally, we do not observe many funds changing their management teams either before or after extreme performance. That is, we find no evidence that the beginning of an extreme performance period is associated with changes in management or that it induces changes in management.

Keywords: Mutual funds; Extreme performance; Fund characteristics (search for similar items in EconPapers)
JEL-codes: G11 G23 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1058330015300860
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:revfin:v:34:y:2017:i:c:p:50-60

DOI: 10.1016/j.rfe.2017.04.003

Access Statistics for this article

Review of Financial Economics is currently edited by T. K. Mukherjee and G. Whitney

More articles in Review of Financial Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2025-03-19
Handle: RePEc:eee:revfin:v:34:y:2017:i:c:p:50-60