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

In addition to the risk mitigation efforts discussed above, there is also the need for some sort of „rating agency‟ or standard setter to „approve‟ green projects (such as green bonds or green funds) to ensure that funds are used for green investments (and there is a common definition of „green‟) and that insurance and guarantees can therefore be reliably offered. For example a recent report on pension funds and infrastructure (see Inderst 2010) notes that within the Prequin infrastructure database a surprising high number of energy funds claim a focus on renewable energy (176 out of a total of. | On the Industry Concentration of Actively Managed Equity Mutual Funds Marcin Kacperczyk Clemens Sialm Lu Zheng March 15 2004 All authors are at the University of Michigan Business School Ann Arbor MI 48109-1234. We thank Sreedhar Bharath Sugato Bhattacharyya Fang Cai Joel Dickson William Goetzmann Rick Green Gautam Kaul Lutz Kilian Zbigniew Kominek Francine Lafontaine Lubos Pástor Tyler Shumway Steve Todd Zhi Wang Toni Whited an anonymous referee and seminar participants at Michigan State University the University of Colorado at Boulder the University of Michigan the 2003 European Financial Management Association Meeting in Helsinki the 2003 Summer Meeting of the Econometric Society and the CIRANO seminar in Montreal for helpful comments. We are grateful to Paul Michaud for his support with the CDA Spectrum database. We especially thank Russ Wermers for providing us with the characteristic-adjusted stock returns reported in DGTW 1997 . We acknowledge the financial support from Mitsui Life Center in acquiring the CDA Spectrum data. All errors are our own responsibility. On the Industry Concentration of Actively Managed Equity Mutual Funds ABSTRACT The value of active fund management recently has become a central debate among researchers and practitioners. Mutual fund managers can deviate from the passive market portfolio by concentrating their holdings in specific industries. We investigate whether mutual fund managers are motivated to hold concentrated portfolios because they have investment skills that are linked to specific industries or whether they are motivated by agency problems that induce them to hold poorly diversified portfolios. Using . mutual fund data from 1984-1999 we study the relationship between the industry concentration of mutual funds and their performance. Our analysis indicates that mutual funds differ substantially in their industry concentration and that concentrated funds tend to follow distinct investment styles. Managers of more .

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