Journal of Banking & Finance Vol. 82 2017
Starting on the wrong foot: Seasonality in mutual fund performance
Abstract
We document a systematic seasonal component in the aggregate underperformance of active mutual funds. At the aggregate level, active funds underperform the market and other passive benchmarks only in the first month of a quarter. This intra-quarter performance seasonality holds across fund sizes and investment styles. The pattern is consistent with short-term stock return reversal effects along with aggregate window-dressing and, to a lesser extent, NAV-inflation practices around quarter-ends. We find marginal or no evidence of microstructure biases, fund investor flows, or cash distributions as sources of this seasonality. Our findings highlight new features of the active management underperformance puzzle.
- DOI
- 10.1016/j.jbankfin.2017.05.013
- Volume
- 82
- Pages
- 133-150
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref