NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Paulo Martins Manoel

University of California at Berkeley
545 S Student Services Building, #1900
Berkeley, CA 94720

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Institutional Affiliation: University of California at Berkeley

NBER Working Papers and Publications

December 2018Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?
with Martin Lettau, Sydney C. Ludvigson: w25381
This paper provides a comprehensive analysis of portfolios of active mutual funds, ETFs and hedge funds through the lens of risk (anomaly) factors. We show that that these funds do not systematically tilt their portfolios towards profitable factors, such as high book-to-market (BM) ratios, high momentum, small size, high profitability and low investment growth. Strikingly, there are virtually no high-BM funds in our sample while there are many low-BM “growth” funds. Portfolios of “growth” funds are concentrated in low BM-stocks but “value” funds hold stocks across the entire BM spectrum In fact, most “value” funds hold a higher proportion of their portfolios in low-BM (“growth”) stocks than in high-BM (“value”) stocks. While there are some micro/small/mid-cap funds, the vast majority of mu...
 
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