IFin Seminar, Simona Abis - Columbia University "Do mutual funds keep their promises?"
Istituto di finanza
Data: 17 Dicembre 2020 / 15:00 - 16:00
Tema del Seminario: "Do mutual funds keep their promises?"
Simona Abis - Columbia University
15:00 - 16:00
Aula virtuale
Campus di Lugano
Abstract:
How do mutual funds appeal to investors with different preferences? Does this influence their demand for financial assets? We use unsupervised machine learning to categorize US active equity mutual funds into Strategy Peer Groups (SPGs) based on their strategy descriptions in prospectuses. We find rich variety in funds' self-described strategies that cannot be fully accounted for by differences in risk-adjusted returns. SPGs, though, display significant and interpretable differences in non-priced characteristics of stocks held. Investors care about these differences and reward funds who keep their promises with lower flow-performance sensitivity.
