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Fund trading divergence and performance contribution

Author

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  • Gimeno, Ruth
  • Andreu, Laura
  • Sarto, José Luis

Abstract

Considering that the most distinct trading decisions are crucial to evaluate the ability of fund managers to add value, this paper aims to examine the trading divergence level among mutual funds and to capture its determinants and its performance consequences. We propose a measure that is more informative than the traditional overlap metrics, providing evidence of a positive and significant trend of fund trading divergence over time, especially after the Global Financial Crisis (GFC) of 2008. Our results also show a negative influence of market stress on the trading divergence level. Interestingly, we find greater contribution to subsequent fund performance in the divergent portions of trading decisions.

Suggested Citation

  • Gimeno, Ruth & Andreu, Laura & Sarto, José Luis, 2022. "Fund trading divergence and performance contribution," International Review of Financial Analysis, Elsevier, vol. 83(C).
    • Handle: RePEc:eee:finana:v:83:y:2022:i:c:s105752192200182x
    DOI: 10.1016/j.irfa.2022.102221
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    More about this item

    Keywords

    Investment skills; Market stress; Mutual fund management; Performance; Trading divergence;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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