NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Mutual Fund Performance and Flows During the COVID-19 Crisis

Lubos Pastor, M. Blair Vorsatz

NBER Working Paper No. 27551
Issued in July 2020, Revised in August 2020
NBER Program(s):Asset Pricing, Corporate Finance

We present a comprehensive analysis of the performance and flows of U.S. actively-managed equity mutual funds during the COVID-19 crisis of 2020. We find that most active funds underperform passive benchmarks during the crisis, contradicting a popular hypothesis. Funds with high sustainability ratings perform well, as do funds with high star ratings. Fund out ows surpass pre-crisis trends, but not dramatically. Investors favor funds that apply exclusion criteria and funds with high sustainability ratings, especially environmental ones. Our finding that investors remain focused on sustainability during this major crisis suggests they view sustainability as a necessity rather than a luxury good.

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Document Object Identifier (DOI): 10.3386/w27551

 
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