Robert Stambaugh Presentation

Do Funds Make More When They Trade More?

ˇLuboˇs P´astor (Chicago Booth)
Rob Stambaugh (Wharton)
Luke Taylor (Wharton)

Motivation

Main Result

Other Results

Literature

Sample

Sample

Turnover-Performance Relation

Turnover-Performance Relation

Role of Fund Size and Fees

Turnover-Performance Relation in Size and Fee Categories

Volatility of Fund Turnover

Average Fund Turnover

Autocorrelation of Fund Turnover

Average Benchmark-Adjusted Gross Fund Returns

Average Benchmark-Adjusted Net Fund Returns

Role of Other Funds

Is Average Turnover Related to Mispricing?

What Helps Explain Fund Performance?

Commonality in Turnover

What Helps Explain Fund Performance?

Investment Perspectives

Timing Strategy

Equivalence Between Timing Strategy and Regression

Average Returns of Timing Strategy

Economic Significance

Cross-Sectional Strategy

Average Gross Returns of Cross-Sectional Strateg

Average Net Returns of Cross-Sectional Strategy

Conclusions

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