TY - JOUR
T1 - Active Technological Similarity and Mutual Fund Performance
AU - McLemore, Ping
AU - Sias, Richard
AU - Wan, Chi
AU - Yüksel, H. Zafer
N1 - Publisher Copyright:
©
PY - 2022/8/2
Y1 - 2022/8/2
N2 - We examine whether superior understanding of technological innovation is a source of mutual fund managers' ability to garner positive abnormal returns. Consistent with our hypothesis, the inter-quintile annual net Carhart alpha spread for mutual funds sorted on changes in the technological similarity (TS) of their portfolio holdings is 282 basis points. Moreover, because changes in TS are largely orthogonal to other predictors of mutual fund success (e.g., industry concentration, active share, fund R 2, and lag fund alpha), changes in TS can be combined with other measures to help identify the best performing funds.
AB - We examine whether superior understanding of technological innovation is a source of mutual fund managers' ability to garner positive abnormal returns. Consistent with our hypothesis, the inter-quintile annual net Carhart alpha spread for mutual funds sorted on changes in the technological similarity (TS) of their portfolio holdings is 282 basis points. Moreover, because changes in TS are largely orthogonal to other predictors of mutual fund success (e.g., industry concentration, active share, fund R 2, and lag fund alpha), changes in TS can be combined with other measures to help identify the best performing funds.
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U2 - 10.1017/S0022109021000685
DO - 10.1017/S0022109021000685
M3 - Article
AN - SCOPUS:85109500696
SN - 0022-1090
VL - 57
SP - 1862
EP - 1884
JO - Journal of Financial and Quantitative Analysis
JF - Journal of Financial and Quantitative Analysis
IS - 5
ER -