Mutual Fund Performance and Flows During the COVID-19 Crisis

Ľuboš Pástor

86 citations0/0 files storedNational Bureau of Economic Research

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Financial Markets and Investment Strategies COVID-19 Pandemic Impacts Sustainable Finance and Green Bonds

Abstract

We present a comprehensive analysis of the performance and flows of U.S. actively-managed equity mutual funds during the COVID-19 crisis of 2020.We find that most active funds underperform passive benchmarks during the crisis, contradicting a popular hypothesis.Funds with high sustainability ratings perform well, as do funds with high star ratings.Fund out ows surpass pre-crisis trends, but not dramatically.Investors favor funds that apply exclusion criteria and funds with high sustainability ratings, especially environmental ones.Our finding that investors remain focused on sustainability during this major crisis suggests they view sustainability as a necessity rather than a luxury good.

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References

1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 2014A five-factor asset pricing model 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 2017Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis 1996Another Puzzle: The Growth in Actively Managed Mutual Funds 2000Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses 2010Luck versus Skill in the Cross‐Section of Mutual Fund Returns

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2020The Quest for Multidimensional Financial Immunity to the COVID-19 Pandemic: Evidence from International Stock Markets 2021Hedge Funds and the Treasury Cash-Futures Disconnect 2021Green Sentiment, Stock Returns, and Corporate Behavior 2021Return and volatility transmission between emerging markets and US debt throughout the pandemic crisis 2021COVID‐19 and ESG preferences: Corporate bonds versus equities

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