A0240
Title: Holding-linked network in mutual fund and the predictability of performance
Authors: Fengrong Wei - University of West Georgia (United States) [presenting]
Weizhong Tian - Shenzhen Technology University (China)
Abstract: A holding-linked network of mutual funds is used, measured by the similarity between funds portfolios, to examine the network predictability of fund performance and flows. Using the new network method, evidence of significant predictability between funds with similar holdings is found. The predictability persists for three to six months for alternative performance measures and at least twelve months for fund flows. In addition, a long-short strategy based on these holding links yields a significant annual alpha of about 4.5 per cent. These findings reflect the similar underlying drivers of funds portfolio holdings and show the persistent prediction of fund performance and flows by the holding linked network.
