Characteristics of Mutual Funds with Extreme Performance

38 Pages Posted: 31 May 2016

See all articles by Jason P. Berkowitz

Jason P. Berkowitz

St. John's University - Department of Economics and Finance

Patrick J. Schorno

KPMG, USA

Dmitry Shapiro

Department of Economics, Seoul National University

Date Written: May 25, 2016

Abstract

Our paper focuses on mutual fund characteristics associated with periods of extreme performance. We find funds with either positive (hot-hand) or negative (icy-hand) persistence tend to have portfolio similarities consistent with riskier positions: compared to no-streak funds they hold less stocks and invest more in top 10 holdings. Also both hot-hand and icy-hand funds have significantly higher turnover than benchmark funds.

At the same time, icy-hand (hot-hand) funds tend to have larger (smaller) management teams, and are less (more) likely to be managed by one manager. Finally, we do not observe many funds changing their management teams either before or after the streak of extreme performance. That is neither find we evidence that the beginning of extreme performance is associated with changes in management, nor that it causes changes in management.

Keywords: Mutual funds; Extreme performance; Fund characteristics

JEL Classification: G11; G23

Suggested Citation

Berkowitz, Jason P. and Schorno, Patrick J. and Shapiro, Dmitry, Characteristics of Mutual Funds with Extreme Performance (May 25, 2016). Available at SSRN: https://ssrn.com/abstract=2784403 or http://dx.doi.org/10.2139/ssrn.2784403

Jason P. Berkowitz

St. John's University - Department of Economics and Finance ( email )

Jamaica, NY 11439
United States

Patrick J. Schorno

KPMG, USA ( email )

United States

Dmitry Shapiro (Contact Author)

Department of Economics, Seoul National University ( email )

San 56-1, Silim-dong, Kwanak-ku
Seoul 151-742

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