Tanja Artiga González, T. Dyakov, Justus Inhoffen, Evert Wipplinger
{"title":"国际共同基金的拥挤","authors":"Tanja Artiga González, T. Dyakov, Justus Inhoffen, Evert Wipplinger","doi":"10.2139/ssrn.3803917","DOIUrl":null,"url":null,"abstract":"We study the relationship between crowding and performance in the active mutual fund industry. We construct a fund-specific measure of crowding using the equity holdings overlap of 17,364 global funds. Funds in the top decile of crowding underperform passive benchmark funds by 1.4% per year. The impact of crowding on performance cannot be attributed to diseconomies of scale. We explore several mechanisms: a preference for liquid stocks, externalities of peer fund flows, and a coordination problem. We find strongest support for a preference for liquid stocks. Our findings reveal that the tendency of managers to follow correlated strategies is a major concern for fund investors.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"48 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2021-03-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Crowding of International Mutual Funds\",\"authors\":\"Tanja Artiga González, T. Dyakov, Justus Inhoffen, Evert Wipplinger\",\"doi\":\"10.2139/ssrn.3803917\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We study the relationship between crowding and performance in the active mutual fund industry. We construct a fund-specific measure of crowding using the equity holdings overlap of 17,364 global funds. Funds in the top decile of crowding underperform passive benchmark funds by 1.4% per year. The impact of crowding on performance cannot be attributed to diseconomies of scale. We explore several mechanisms: a preference for liquid stocks, externalities of peer fund flows, and a coordination problem. We find strongest support for a preference for liquid stocks. Our findings reveal that the tendency of managers to follow correlated strategies is a major concern for fund investors.\",\"PeriodicalId\":18891,\"journal\":{\"name\":\"Mutual Funds\",\"volume\":\"48 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-03-13\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Mutual Funds\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3803917\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Mutual Funds","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3803917","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
We study the relationship between crowding and performance in the active mutual fund industry. We construct a fund-specific measure of crowding using the equity holdings overlap of 17,364 global funds. Funds in the top decile of crowding underperform passive benchmark funds by 1.4% per year. The impact of crowding on performance cannot be attributed to diseconomies of scale. We explore several mechanisms: a preference for liquid stocks, externalities of peer fund flows, and a coordination problem. We find strongest support for a preference for liquid stocks. Our findings reveal that the tendency of managers to follow correlated strategies is a major concern for fund investors.
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