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Mutual funds and short sales: a performance analysis
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Over the last decade there has been an increase in the use of short sales by mutual funds, however research on this phenomenon is still scarce. Previous empirical studies on traditional mutual funds provide evidence of a negative net performance but overall research on short sellers indicates the existence of skill. Thus, the question arises of whether mutual funds engaging in short sales are able to earn abnormal returns. Using detailed data on portfolio holdings, one shows that these mutual funds generate statistically significant annual abnormal returns of 4 and 3 percent in both their short and long positions, respectively.
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Mutual funds Short sales Portfolio holdings Abnormal performance