skip to primary navigationskip to content
 

Research Seminar - 'The Expertise of Mutual Fund Managers' by Werner deBondt

When Apr 30, 2012
from 11:30 AM to 12:30 PM
Where Room W2.01, CJBS
Contact Name
Add event to calendar vCal
iCal

Werner deBondt, Richard H. Driehaus Center for Behavioral Finance, DePaul University, Chicago

THE EXPERTISE OF MUTUAL FUND MANAGERS

Abstract:


Section 5b of the Investment Company Act of 1940 says that U.S. mutual funds must present themselves as either “diversified” or “non-diversified.” Most funds are diversified funds. The managers of these funds are not allowed to allot more than five percent of fund assets to one stock. This ceiling bars concentrated bets. Managers of non-diversified funds do not face the same restriction, however. They see it as a natural part of their mandate to make aggressive bets. Hence, the distinction between the two types of funds is an opportu-nity to investigate the stock selection expertise of mutual fund managers.
We study the period 1984-2009. A value-weighted return index of non-diversified funds produces an alpha of approximately 2 percent per year net of fees. The managers of non-diversified funds place large bets on stocks that do well over the next twelve months. The large bets are often associated with positive earnings news.
Our study sheds light on the puzzle that many fund managers appear to possess valuable in-formation, yet most actively managed mutual funds underperform their benchmarks. The study is also of interest to investors. Choosing an undiversified mutual fund may be a good way to profit from fund managers‟ expertise at stock selection.

« December 2019 »
December
MoTuWeThFrSaSu
1
2345678
9101112131415
16171819202122
23242526272829
3031

RSS Feed Latest news

Winners of the Best Student Paper Award 2018 announced

Aug 21, 2018

Cambridge Finance is proud to announce the winners of the Best student Paper Award for 2017-2018

View all news

Upcoming events

Cambridge Finance Workshop - Anne Villamil

Jan 23, 2020

Upper Hall, Peterhouse College, Cambridge CB2 1RD

Cambridge Finance Workshop - Alberto Manconi

Feb 06, 2020

Upper Hall, Peterhouse College, Cambridge CB2 1RD

Cambridge Finance Workshop - Ernst Maug

Feb 20, 2020

KH107, Keynes House, Cambridge Judge Business School

Previous events

Upcoming events