Starting on the Wrong Foot: Seasonality in Mutual Fund Performance

Stephen J Brown, Juan Sotes-Paladino, Chelsea Yao, George Wang

Research output: Contribution to conferencePaperpeer-review


We document a marked seasonal pattern in the aggregate underperformance of active mutual funds. On average, a value-weighted portfolio of active funds underperforms the market and other benchmark portfolios in the first month of a quarter only. This intra-quarter pattern remains significant across fund size and investment style categories. It is partially consistent with tournament-like behavior (quarter-end NAV inflation and window dressing) by mutual funds, but bears limited to no relation with systematic time variation in microstructure biases, investors’ flows or cash distributions. Our results pose a challenge to existing explanations of the mutual funds’ underperformance puzzle.
Original languageEnglish
Publication statusPublished - 2016
EventAsian FA Annual Meeting - Anantara Siam Bangkok Hotel, Bangkok, Thailand
Duration: 26 Jun 201628 Jun 2016
Conference number: 28


ConferenceAsian FA Annual Meeting


  • Mutual funds, seasonality, performance evaluation, benchmark index


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