【本期主题】It’s all about what you lose: downside loss and mutual fund performance

We find funds with high downside loss significant underperform funds with low downside loss by about 4.3% per annum using risk-adjusted performance. The spread in the per-formance of the two groups of funds persists in the future. Placebo test using index funds and stocks does not show a similar spread, suggesting that the spread is unlikely to be spurious or due to chance. Funds with high downside loss tend to be smaller, younger, and poor recent performers { characteristics typically associated with funds’ need to attract greater investor ows, and greater risk-taking behavior. Funds with higher downside loss also display a strong tendency to invest in stocks with lottery features that help attract investor ows especially from retail investors. Taken together, inferior performance of funds with high downside loss appears to be driven by funds holding lottery-type stocks and exhibiting lower skill in risk management.

【报告人】  Vikas Agarwal 佐治亚州立大学 教授

【时   间】2017年6月9日  上午10:00

【地   点】明德主楼509室

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报告人简介：

Vikas Agarwal, H. Talmage Dobbs, Jr. Chair of Finance and Professor. Dr. Agarwal’s current research focuses on various issues related to alternative investments including characterization of hedge fund risks, performance evaluation, determinants of money flows, impact of flows on performance, and managerial risk-taking behavior in the hedge fund industry. His research has been published both in academic and practitioner journals including Journal of Finance, Review of Financial Studies, Journal of Financial and Quantitative Analysis, Journal of Investment Management, Journal of Alternative Investments, and Journal of Asset Management. He has presented his research in various top academic conferences and his research has been cited and discussed in the financial press and magazines including Euromoney, Financial Times, International Herald Tribune, New York Times, and Wall Street Journal Europe.

Dr. Agarwal holds a research associate position at EDHEC Risk and Asset Management Center, France. He is also a research fellow at the Centre for Financial Research, University of Cologne, Germany.

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