Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?
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This paper provides a comprehensive analysis of portfolios of active mutual funds and ETFs through the lens of risk (anomaly) factors. We show that these funds do not systematically tilt their portfolios towards profitable factors, such as high book-to-market (BM) ratios, high momentum, small size,
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美国国家经济研究局创建时间：
2018-12-01
