![]() ![]() Based on form N-SAR that mutual funds file with their semi-annual or annual reports, they find that 323 distinct funds use short sales over the period of 1994 to 2006. ,, ) look at the mutual funds that use short sales. “ A First Look at Mutual Funds That Use Short Sales.” Journal of Financial and Quantitative Analysis 48 (3): 761– 87. ( 2013 Chen, Honghui, Hemang Desai, and Srinivasan Krishnamurthy. ,, ) separate HMFs based on their investment styles and examine their performance around the 2007–2009 financial crisis. “ Should Investors Invest in Hedge Fund-like Mutual Funds? Evidence from the 2007 Financial Crisis.” Journal of Financial Intermediation 22 (3): 482– 512. On the other hand, Huang and Wang ( 2013 Huang, Jing-Zhi, and Ying Wang. ,, ) mainly focus on whether HMFs are managed by an HF manager or not and compare the performance of HMFs to that of HFs vs. “ Hedge Funds for Retail Investors? An Examination of Hedged Mutual Funds.” Journal of Financial and Quantitative Analysis 44 (2): 273– 305. ,, ), we eliminate international, sector equity, or convertible bond arbitrage funds from the initial Morningstar sample. Similar to Huang and Wang ( 2013 Huang, Jing-Zhi, and Ying Wang. Domicile in 2009, and this number further decreased to five by 2014. There were only 14 130-30 funds with U.S. ,, ), we do not include the 130-30 funds from the global database of Morningstar, since they do not grow significantly in the post-2009 period. However, unlike Huang and Wang ( 2013 Huang, Jing-Zhi, and Ying Wang. We rely on Morningstar classifications to identify HMFs, similar to Huang and Wang ( 2013 Huang, Jing-Zhi, and Ying Wang. ,, ) conduct a rigorous search to identify HMFs based on fund names, market exposures, and internet news archives, since Morningstar or Lipper style classifications were not well established for HMFs when they conducted their study. We do not include the bear market funds in the sample since most of these funds passively track the inverse multiple of an index (e.g., funds from Rydex or Direxion fund families).Ĥ Figure S1 in our supplemental appendix shows the number of market-neutral or long-short mutual funds in the initial Morningstar sample over time, while Figure S2 shows the total net assets of these funds over time.ĥ Requiring a fund to have past 24 months’ returns to include in the sample can lead to a look-ahead bias, yet it is needed to ensure reliable alpha estimates, since some of the funds in the initial sample have very short lives.Ħ Agarwal et al. ,, ).ģ See for other categories of alternative mutual funds. Even though assets managed by HMFs grew tremendously during the first 5 years following the global financial crisis, they lost some of these assets afterward and their assets decreased to $134.15 billion as of December 2020.Ģ See, for example, Agarwal et al. 1 Data are sourced from Morningstar Direct for all alternative mutual funds, also known as HMFs. ![]()
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