Performance implications of active management of institutional mutual funds

Authors


  • The authors would like to thank the editor (David Gallagher) and an anonymous reviewer for their valuable comments and suggestions to improve the quality of the paper. We are also grateful to Russell Co. for providing information on the composition of the Russell Indices, and we thank the Paul Woolley Centre for the Study of Capital Market Dysfunctionality at the University of Technology Sydney for providing the funding for this research project.

Abstract

We use information on institutional US mutual funds to examine the performance implications of the decisions they make when actively implementing their investment processes. Our findings show that the success of active fund managers' stock selection decisions is influenced both by the aggressiveness with which they implement their processes and also the style tilts incorporated into their active positions. Our findings provide useful insights into both where one might best look when choosing an active manager and also suggest possible profitable investment strategies.

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