Mismarking in Mutual Funds

• 成果类型: Article
• 署名作者: Atanasov, Vladimir; Merrick, John J., Jr.; Schuster, Philipp
• 署名单位: University of Stuttgart
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.4366
• 发表日期: 2023
• 页码: 1275-1300
• 关键词: MUTUAL FUND PERFORMANCE; Structured products; odd lot; mismarking

摘要

We study mismarking of newly purchased odd lot and two classes of round lot structured product positions in mutual funds. Such mismarking artificially inflates net asset values and overstates cumulative returns. Applied to funds launched after January 2010, a simulation-tested mismarking fund filter identifies 12 Highly Questionable funds managing $75 billion. The performance of these funds matches closely the predicted pattern of mismarking: extremely high alpha and skewness, particularly immediately after launch. We show that structured product mismarking can seriously inflate return-since-inception metrics. We also provide evidence consistent with return smoothing for one quarter of the sample structured product funds. The inflated performance metrics benefit fund managers through significantly higher Sharpe ratios, Morningstar ratings, and asset growth but cause material losses to later investor cohorts.