Title
A First Look at Mutual Funds That Use Short Sales
Abbreviated Journal Title
J. Financ. Quant. Anal.
Keywords
STOCK RETURNS; PICK STOCKS; HEDGE FUNDS; PERFORMANCE; INVESTMENT; RISK; INFORMATION; BENCHMARKS; MANAGERS; INDUSTRY; Business, Finance; Economics
Abstract
We provide a first look at short selling by mutual funds, a phenomenon not examined by prior research. Mutual funds that short do so frequently and in significant amounts, averaging about 16% of fund assets. These funds outperform benchmarks by 1.5% per year. An analysis of portfolio holdings shows that these funds generate abnormal performance from their short (4.1% per year) and long (1.5% per year) positions. Managers of short-selling mutual funds also exhibit superior performance in other funds they manage that do not use short sales. These findings suggest that managers of short-selling mutual funds are skilled.
Journal Title
Journal of Financial and Quantitative Analysis
Volume
48
Issue/Number
3
Publication Date
1-1-2013
Document Type
Article
Language
English
First Page
761
Last Page
787
WOS Identifier
ISSN
0022-1090
Recommended Citation
"A First Look at Mutual Funds That Use Short Sales" (2013). Faculty Bibliography 2010s. 3785.
https://stars.library.ucf.edu/facultybib2010/3785
Comments
Authors: contact us about adding a copy of your work at STARS@ucf.edu