Revisiting Mutual Fund Portfolio Disclosure

The Investment Value of Mutual Fund Portfolio Disclosure

This paper uses disclosed mutual fund portfolio holdings to develop stock selection models. Our models aggregate portfolio holdings across mutual funds, weighted by their past performance, to predict future stock returns – an overweighting by successful managers, or an underweighting by unsuccessful managers is considered to be a signal that a stock is currently underpriced. We find that invest...

Improving Mutual Fund Risk Disclosure

Mutual fund investors are largely middle class Americans2, many of whom are investing for essential long-term objectives like retirement and college education. For these individuals to make appropriate investment decisions, they must understand all dimensions of risk, including, perhaps most importantly, that risk and reward are closely related and that it may be necessary to assume certain “ri...

Portfolio Risk Management Implications of Mutual Fund Investment Objective Classifications

I examine portfolio risk management implications of using hypothetical investment returns from a sample of mutual funds in a variety of investment objective classifications to select mutual funds. While early research supported this practice by showing that risk is homogeneous within investment objective groups and heterogeneous between groups, more recent research suggests that earlier finding...

Mutual Fund Portfolio Choice in the Presence of Dynamic Flows∗

We analyze the implications of the widely used fixed fraction of funds fees on a mutual fund manager’s portfolio decisions. In our model, a log utility investor is allowed to dynamically allocate capital between an actively managed mutual fund and a locally riskless bond. The optimal fund portfolio is shown to be the one that maximizes the market value of the fees received, and is independent o...

The MUTUAL FUND INDUSTRY