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Fund tradeoffs
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DOI：10.1016/j.jfineco.2020.06.005.png)
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We study tradeoffs among active mutual funds' characteristics. In both our equilibrium model and the data, funds with larger size, lower expense ratio, and higher turnover hold more-liquid portfolios. Portfolio liquidity, a concept introduced here, depends not only on the liquidity of the portfolio's holdings but also on the portfolio's diversification. We also confirm other model-predicted tradeoffs. Larger funds are cheaper. Larger and cheaper funds are less active, based on our new measure of activeness. Better-diversified funds hold less-liquid stocks; they are also larger and cheaper, and they trade more. These tradeoffs provide novel evidence of diseconomies of scale in active management. (C) 2020 Elsevier B.V. All rights reserved.
Keyword:
Fund tradeoffs
Fund characteristics
Portfolio liquidity
Diversification
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