Despite rich investment opportunities presented by market dislocations, most US active equity mutual funds underperform passive benchmarks between February 20 and April 30, 2020. The average fund underperforms the S&P 500 index by 5.6% during the ten-week period (29% annualized). The average underperformance relative to the style benchmark is 2.1% (11% annualized). Eighty percent of funds have negative CAPM alphas, and average fund alphas computed relative to five different factor models are all negative. These results undermine the popular hypothesis that active funds make up for their disappointing unconditional performance by performing well in recessions.
Insights / Podcast episode•Jun 16, 2021
Vaccine Lotteries: Worth a Shot?
Eduardo Porter, Tess Vigeland, Steve Levitt, Jeff Severts
More than a dozen states have announced large lotteries to incentivize vaccinations. On this episode,...
Finding•Jun 10, 2021
Science Skepticism Reduces Compliance with COVID-19 Shelter-in-Place Policies
Adam Brzezinski, Valentin Kecht, David Van Dijcke, Austin Wright
The proportion of people who stay at home after shelter-in-place policies go into effect is significantly lower in counties with a high concentration of science skeptics.
Finding•May 11, 2021
Financial Fragility in the COVID-19 Crisis: The Case of Investment Funds in Corporate Bond Markets
Antonio Falato, Itay Goldstein, Ali Hortaçsu
By providing a liquidity backstop for their bond holdings, the Federal Reserve bond purchase program helped to reverse corporate bond fund outflows during the COVID-19 crisis, especially for the most fragile funds.
Topics: COVID-19, Financial Markets