Mutual Fund Performance and Flows during the COVID-19 Crisis

Ľuboš Pástor

319 citations0/0 files storedThe Review of Asset Pricing Studies

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

Abstract

Abstract We present a comprehensive analysis of the performance and flows of U.S. actively managed equity mutual funds during the 2020 COVID-19 crisis. 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 outflows surpass precrisis 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. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

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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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