TAILIEUCHUNG - On the Industry Concentration of Actively Managed Equity Mutual Funds

Here’s why: if the fund invested all its assets in 60-day paper, and tomorrow your shareholders wanted to withdraw some of their money, you would be forced to sell 59-day securities in what could be a weak market. To prevent this—and comply with Rule 2a-7—you’ll need to hold at least a 10 percent cash position. To make sure that you’re always in compliance, you’ll stagger the maturities of the holdings in the fund, so that some securities are being paid off every day, providing a steady cash flow. But there’s even more to the maturity decision. Part of your role in managing the fund is to determine when. | THE JOURNAL OF FINANCE VOL. LX NO. 4 AUGUST 2005 On the Industry Concentration of Actively Managed Equity Mutual Funds MARCIN KACPERCZYK CLEMENS SIALM and LU ZHENG ABSTRACT Mutual fund managers may decide to deviate from a well-diversified portfolio and concentrate their holdings in industries where they have informational advantages. In this paper we study the relation between the industry concentration and the performance of actively managed . mutual funds from 1984 to 1999. Our results indicate that on average more concentrated funds perform better after controlling for risk and style differences using various performance measures. This finding suggests that investment ability is more evident among managers who hold portfolios concentrated in a few industries. Actively managed mutual funds are an important constituent of the financial sector. Despite the well-documented evidence that on average actively managed funds underperform passive benchmarks mutual fund managers might still differ substantially in their investment In this paper we examine whether some fund managers create value by concentrating their portfolios in industries where they have informational advantages. Conventional wisdom suggests that investors should widely diversify their holdings across industries to reduce their portfolios idiosyncratic risk. Fund Kacperczyk is from the Sauder School of Business at the University of British Columbia. Sialm and Zheng are from the Stephen M. Ross School of Business at the University of Michigan. We thank Sreedhar Bharath Sugato Bhattacharyya Fang Cai Joel Dickson William Goetzmann Rick Green the editor Gautam Kaul Lutz Kilian Zbigniew Kominek Francine Lafontaine Lubos Pastor Stefan Ruenzi Tyler Shumway Matthew Spiegel Laura Starks Steve Todd Zhi Wang Russ Wermers Toni Whited and especially an anonymous referee. We also benefited from helpful comments by seminar participants at the 2002 CIRANO seminar in Montreal the 2003 European Financial

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