Using proprietary data from a major fund data provider, we analyze the screening activity of investment consultants (ICs). We find that ICs frequently shortlist funds using threshold screens clustered at $500MM for AUM, 0% for benchmark-adjusted return, and quartiles for return percentile rank screens. Funds just above the $500MM AUM threshold get 14%–18% more page views and 5–9 pp greater flows over the next year compared to similar funds just below the threshold. Our results are consistent with ICs using a two-stage consider-then-choose decision-making process and cognitive reference numbers in selecting screening thresholds. (JEL G41, G11, G14, G29) Received January 8, 2021; editorial decision September 3, 2021.

We document significant persistence in the market timing performance of active individual investors, suggesting that some investors are skilled at timing. Using data on all trades by active Finnish individual investors over almost 15 years, we also show that the net purchases of skilled versus unskilled investors predict monthly market returns. Our results lend credibility to the view that market returns are predictable, without having to specify which variables active investors use to successfully time the market.