Title

A First Look At Mutual Funds That Use Short Sales

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. Copyright © Michael G. Foster School of Business, University of Washington 2013.

Publication Date

6-1-2013

Publication Title

Journal of Financial and Quantitative Analysis

Volume

48

Issue

3

Number of Pages

761-787

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1017/S0022109013000264

Socpus ID

84893150776 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/84893150776

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