The Flow

• 成果类型: Article; Early Access
• 署名作者: Dannhauser, Caitlin; Pontiff, Jeffrey
• 署名单位: Villanova University; Boston College
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454; 1465-7368
• DOI: 10.1093/rfs/hhag080
• 发表日期: 2026-09-09
• 关键词: MUTUAL FUND PERFORMANCE; Exchange-traded funds; presidential-address; INVESTOR FLOWS; cross-section; IMPACT; money; persistence; selection; returns

摘要

Performance chasing is pervasive in active mutual funds, index mutual funds, and ETFs, with positive flow-performance sensitivity evident in both broad-based and niche funds and for the skill and nonskill components of returns. The sensitivity of ETFs is greatest, with insignificant differences between active and index mutual funds. The heightened sensitivity of ETFs is not explained by benchmark design or exchange trading, and is amplified by institutional ownership. Institutional trading of ETFs follows a momentum strategy, rather than flow management or benchmarking. Institutional herding and the outsourcing of investment management to model portfolios heightens the performance sensitivity of ETF flows.