Better than the Original? The Relative Success of Copycat Funds
نویسندگان
چکیده
This paper investigates the performance of copycat funds, which are free-riding on disclosed asset holdings of actively managed mutual funds. On average, copycat funds are able to marginally outperform their target mutual funds, but the relative success of copycat funds has increased after 2004, when SEC regulation imposed all mutual funds to quarterly disclose their holdings. We document a substantial cross-sectional dispersion in the performance of copycat funds. Free-riding on the portfolios disclosed by past winner funds, funds disclosing representative holdings, small funds and low-expense funds generates significantly better performance net of trading costs and expenses than the vast majority of mutual funds. The results indicate that free-riding on disclosed fund holdings is an attractive strategy and suggest that mutual funds may suffer from information disclosure requirements.
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