Starting on the Wrong Foot:Seasonality in Mutual Fund Performance

Brown, Stephen J. and Sotes-Paladino, Juan and Yao, Yaqiong and Wang, Jiaguo (2016) Starting on the Wrong Foot:Seasonality in Mutual Fund Performance. In: The 28th Asian FA Annual Meeting 2016, 2016-06-262016-06-28, Anantara Siam Bangkok Hotel.

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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’ flows or cash distributions. Our results pose a challenge to existing explanations of the mutual funds’ underperformance puzzle.

Item Type:
Contribution to Conference (Paper)
Journal or Publication Title:
The 28th Asian FA Annual Meeting 2016
ID Code:
127748
Deposited By:
Deposited On:
25 Sep 2018 13:24
Refereed?:
Yes
Published?:
Published
Last Modified:
19 Jul 2020 00:39