Journal of Financial and Quantitative Analysis Vol. 48 No. 3 2013
A First Look at Mutual Funds That Use Short Sales
open access
Abstract
We provide a first look at short selling by mutual funds, a phenomenon not examined by prior research. Mutual funds that short do so frequently and in significant amounts, averaging about 16% of fund assets. These funds outperform benchmarks by 1.5% per year. An analysis of portfolio holdings shows that these funds generate abnormal performance from their short (4.1% per year) and long (1.5% per year) positions. Managers of short-selling mutual funds also exhibit superior performance in other funds they manage that do not use short sales. These findings suggest that managers of short-selling mutual funds are skilled.
- DOI
- 10.1017/s0022109013000264
- Volume
- 48
- Issue
- 3
- Pages
- 761-787
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref