Rotterdam Brown Bag Seminars in Finance

Ran Xing (Erasmus University Rotterdam)
Wednesday, 22 November 2017


This paper decomposes the performance of active mutual funds based on the investment horizon of their holdings and trades, using both daily holdings and transaction data. Funds earn 0.73% per year from recent trades (in the last half year), and profit substantially from long-term holdings (1.25% per year). These results generally hold across all investment styles, with sales contributing as much as purchases. Trades made by growth, small-cap, momentum, or small funds contribute more in half a year but contribute negatively to performance from half a year to one year, indicating funds profit from their specializations.