Seminar 217, Risk Management: Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?

Seminar 217, Risk Management: Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?

Risk Seminar
Sep 17, 2019, 11:00 AM - 12:30 PM | 1011 Evans Hall | Happening As Scheduled
Speaker: Martin Lettau, UC Berkeley (Speaker - Featured)
ABSTRACT: 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...