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FIIE-1: Fund performance
Imperial College Business School, United Kingdom
We use publicly disclosed short positions for EU stock markets from 2012 to 2018 to show that the alpha of the average short position in our data set is not statistically significant after adjusting for momentum, but short positions for which hedge funds have high conviction outperform other short positions that account for a smaller proportion of the funds' disclosed positions. The six-factor alpha of a long-short strategy based on conviction is 6 per cent per year after adjusting for transaction costs. Our results inform the public policy debate about the pros and cons of the public disclosure of short positions akin to Frank, Poterba, Shackelford, and Shoven (2004) for the public disclosure of long positions.
What Do Mutual Fund Managers' Private Portfolios Tell Us About Their Skills?
Federal Reserve Board of Governors, United States of America
I collect a registry-based dataset on the personal portfolios of Swedish mutual fund
managers. The managers who invest personal money in the very same funds they professionally manage outperform the managers who do not. The main results are consistent with a Berk and Green (2004) equilibrium in which fund managers, in contrast to regular investors, are certain about their ability to generate abnormal returns---or lack thereof---and invest their personal wealth accordingly.
Text Sophistication and Sophisticated Investors
1University of Oulu, Finland; 2University at Buffalo, United States; 3Singapore Management University
We show that two novel measures of text sophistication, applied to hedge fund strategy descriptions, encapsulate incremental information about funds. Consistent with the linguistics literature, hedge funds with lexically diverse strategy descriptions outperform, eschew tail risk, and encounter fewer legal problems. In line with the literature, hedge funds with syntactically complex strategy descriptions grapple with more legal issues and report more rule violations. Fund investors recognize the dichotomy and direct flows accordingly, but not enough to erode away the alphas of lexically diverse funds. Our findings suggest that text sophistication measures provide texture on the cognitive ability and trustworthiness of sophisticated investors.
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