Thematic Concentration and Mutual Fund Performance

• 成果类型: Article; Early Access
• 署名作者: Bai, John (Jianqiu); Tang, Yuehua; Wan, Chi; Yuksel, H. Zafer
• 署名单位: Hong Kong Polytechnic University; State University System of Florida; University of Florida; California State University System; San Diego State University; University of Rhode Island
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454; 1465-7368
• DOI: 10.1093/rfs/hhag021
• 发表日期: 2026-06-08
• 关键词: G11; G23; J24; risk-factor disclosures; INFORMATION; MANAGER; INVESTMENT; trades; MARKET; stocks; skill

摘要

This study examines whether mutual fund managers generate alpha through thematic investment strategies that select stocks poised to benefit from specific themes. Using textual analysis of 10-K filings, we identify stocks' thematic exposures and construct each fund's thematic concentration index (TCI) from its holdings. High-TCI funds significantly outperform, with a top-minus-bottom decile spread of 4.26% in annualized four-factor alpha. Managers' thematic expertise is related to their undergraduate field of study. Outperformance arises from superior stock selection rather than theme-related timing, with an informational advantage on firm earnings, particularly in stocks exposed to themes related to managers' undergraduate training.