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Do Funds Make More When They Trade More?

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Do Funds Make More When They Trade More?

Lubos Pastor, Robert F. Stambaugh, Lucian A. Taylor

NBER Working Paper No. 20700
Issued in November 2014
NBER Program(s):   AP   CF

We find that active mutual funds perform better after trading more. This time-series relation between a fund’s turnover and its subsequent benchmark-adjusted return is especially strong for small, high-fee funds. These results are consistent with high-fee funds having greater skill to identify time-varying profit opportunities and with small funds being more able to exploit those opportunities. In addition to this novel evidence of managerial skill and fund-level decreasing returns to scale, we find evidence of industry-level decreasing returns: The positive turnover-performance relation weakens when funds act more in concert. We also identify a common component of fund trading that is correlated with mispricing proxies and helps predict fund returns.

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