نوع مقاله : مقاله علمی پژوهشی
نویسندگان
1 موسسه پژوهشهای پیشرفته تهران، دانشگاه خاتم، تهران، ایران
2 استادیار دانشگاه خاتم و عضو موسسه پژوهش های پیشرفته تهران
چکیده
کلیدواژهها
موضوعات
عنوان مقاله [English]
نویسندگان [English]
Objective: Best ideas are part of mutual funds’ trades that are made with the motivation of generating a profit greater than the index and are mainly based on experts' analysis. According to the existing literature, we use four measures to detect the best ideas in the mutual funds trading activities in this study. By comparing the performance of the best ideas detected by these measures, in this paper we identify the best method to define the best ideas. We show that the best ideas generate more profit than the other trading strategies.
Methods: Based on the existing literature, we choose four methods to define the best ideas, (1) common trades, (2) aggressive positions, (3) consensus wisdom, and (4) innovational trades. Common trades which is introduced by Pomorski (2009), are common trades of funds that are managed by the same company’s management. Aggressive positions mentioned by Antón et al. (2020), are the top three stocks with the highest weight difference from the market index in the mutual fund portfolio. Consensus wisdom introduced by Jiang et al. (2014), is the upper decile of average overweighted stocks among all funds and they consider it a measure of consensus wisdom of active mutual fund managers. Innovational trades that is introduced by Lantushenko (2015), are completely new portfolio positions that a fund has not previously held. To calculate the performance of the best ideas, we create a unique portfolio containing the best ideas. Each month, new best ideas enter the portfolio, and after one month, they exit from it. Finally, we use CAPM, Fama-French, and Carhart alphas to measure the portfolio's performance.
Results: By comparing the performance of the portfolios created by the four mentioned methods, “common trades of funds from the same company” is recognized as the best method of defining the best ideas. Also, results show that the portfolio containing the common trades as best ideas can generate an alpha of 4 to 5.1 percent with a T-statistic of 2.641 to 5.329. Particularly, we test our results in two different periods of the market, before July 2020 when the market grew aggressively and after July 2020 when the market behaved normally, and we show our results are robust in both periods. Common trades of funds in unrelated management companies are fundamentally different from those with the same company, this paper shows that trades made commonly in funds that are in unrelated management companies fail to generate economically positive and statistically significant alphas. In the following, we show that best ideas performance is not a result of the speculative behavior of funds. Also, we show that funds herding does not explain the best ideas abnormal returns.
Conclusion: Results show that the best ideas detected by the common trades method are able to generate a meaningful and positive alpha (statistically and economically), independent of size (SMB), market value (HML), and momentum (UMD) factors. Finally, common trades of funds from the same company are the best measure to define the best ideas in Iran's stock exchange.
کلیدواژهها [English]
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