Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?

Martin Lettau, Sydney Ludvigson and Paulo Manoel

No 13395, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: 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.

Keywords: Mutual funds; Characteristics; Value puzzle; Portfolio composition; Anomalies (search for similar items in EconPapers)
Date: 2018-12
New Economics Papers: this item is included in nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://cepr.org/publications/DP13395 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
Working Paper: Characteristics of Mutual Fund Portfolios: Where Are the Value Funds? (2018)
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:cpr:ceprdp:13395

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP13395

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().