50 Pages Posted: 10 Feb 2003
Mutual fund managers may decide to deviate from a well-diversified portfolio and concentrate their holdings in industries where they have informational advantages. In this paper, we study the relation between the industry concentration and the performance of actively managed U.S. mutual funds from 1984 to 1999. Our results indicate that, on average, more concentrated funds perform better after controlling for risk and style differences using various performance measures. This finding suggests that investment ability is more evident among managers who hold portfolios concentrated in a few industries.
JEL Classification: G12, G23
Suggested Citation: Suggested Citation
Kacperczyk, Marcin T. and Sialm, Clemens and Zheng, Lu, On the Industry Concentration of Actively Managed Equity Mutual Funds. AFA 2005 Philadelphia Meetings; Journal of Finance, Forthcoming; Sauder School of Business Working Paper. Available at SSRN: https://ssrn.com/abstract=353420 or http://dx.doi.org/10.2139/ssrn.353420