A First Look at Mutual Funds That Use Short Sales
Abbreviated Journal Title
J. Financ. Quant. Anal.
STOCK RETURNS; PICK STOCKS; HEDGE FUNDS; PERFORMANCE; INVESTMENT; RISK; INFORMATION; BENCHMARKS; MANAGERS; INDUSTRY; Business, Finance; Economics
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 of Financial and Quantitative Analysis
"A First Look at Mutual Funds That Use Short Sales" (2013). Faculty Bibliography 2010s. 3785.