FLOW

54 Pages Posted: 2 Aug 2019 Last revised: 22 Oct 2019

See all articles by Caitlin D Dannhauser

Caitlin D Dannhauser

Villanova University - Department of Finance

Jeffrey Pontiff

Boston College - Department of Finance

Date Written: July 29, 2019

Abstract

We estimate apples-to-apples comparisons of flows to active mutual funds, index mutual funds, and exchange traded funds (ETFs). The positive contemporaneous correlations between market returns and aggregate flows that were commonplace for active funds are now only prominent for ETFs. The monthly flow-performance relation of ETFs and index funds is larger than active funds. Annually the relation of active funds and ETFs is similar, while the index fund relation is muted. Category performance drives the relation. Extant theories of fund flows are hapless in explaining our results. Consistent with existing theories, flow-induced fire sales and trading are similar for all vehicles.

Keywords: Investment Flow, ETFs, Mutual Funds, Passive Investment

JEL Classification: G12, G14, G23

Suggested Citation

Dannhauser, Caitlin D and Pontiff, Jeffrey, FLOW (July 29, 2019). Available at SSRN: https://ssrn.com/abstract=3428702 or http://dx.doi.org/10.2139/ssrn.3428702

Caitlin D Dannhauser (Contact Author)

Villanova University - Department of Finance ( email )

United States
610-519-4348 (Phone)

Jeffrey Pontiff

Boston College - Department of Finance ( email )

Carroll School of Management
140 Commonwealth Avenue
Chestnut Hill, MA 02467-3808
United States

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