‘Smart’ copycat mutual funds: on the performance of partial imitation strategies

Financial Innovation

Table 1 Summary statistics.

Panel A: Full sample statistics
	Mean	25th perc	Median	75th perc	St. Dev
CopyScore	− 0.38	0.00	0.00	− 0.87	3.52
wLead	32.85	25.75	37.57	43.88	14.39
wFoll	32.48	25.40	36.97	43.39	14.30
TNA	871.50	16.70	84.70	422.80	3616.78
ExpRatio	1.28	0.95	1.20	1.49	1.08
TurnRatio	86.69	33.00	62.00	107.00	107.35
12b1	0.38	0.25	0.25	0.40	0.28
PerCom	93.76	92.01	95.84	98.17	8.58
PerCash	3.15	0.44	1.96	4.23	6.24
Fund Age	12.60	4.41	9.00	15.73	12.91
Gross Return	0.60	− 2.04	1.04	3.68	5.33

Panel B: Statistics of funds sorted into Copycat Score groups
group	CopyScore	wLead	wFoll	Funds	TNA	PerCom	PerCash	ExpRatio	TurnRatio	Age	Following
5	7.92	31.67	39.59	59	975	92.46	3.21	1.43	95.59	12.26	67.55
4	2.71	33.56	36.26	60	1089	93.53	3.05	1.31	87.76	13.26	69.30
3	1.43	34.66	36.09	60	1248	94.28	2.67	1.31	87.24	13.41	71.86
2	0.73	35.78	36.51	60	1402	94.11	2.60	1.25	83.15	14.42	83.74
1	0.23	38.01	38.24	60	1423	94.48	2.51	1.18	88.20	14.77	85.50
0	0.00	23.43	23.43	430	460	94.21	3.12	1.38	94.91	11.88	19.60
− 1	− 0.31	38.32	38.01	95	1460	94.67	2.40	1.18	86.84	14.98	78.58
− 2	− 0.93	37.12	36.19	93	970	94.29	2.39	1.24	86.97	13.98	70.80
− 3	− 1.76	36.70	34.93	94	971	93.96	2.79	1.27	80.54	13.78	60.34
− 4	− 3.17	37.58	34.41	94	668	93.91	2.85	1.29	80.03	13.00	59.01
− 5	− 7.24	39.58	32.34	94	507	92.89	3.07	1.37	76.71	12.22	49.55
Mean	− 0.36	29.55	29.19	1086	790	94.08	2.78	1.33	93.37	12.30	60.08

In Panel A, summary statistics are presented for the full sample, which contains all actively managed mutual funds that invest primarily in U.S. equity, for the period 2000–2016. In Panel B, mutual funds are sorted every quarter into uneven quantiles by their Copycat Score. Funds with a score of zero are placed in quantile 0, and those with negative and positive scores are separately ranked into quintiles. Summary statistics for each resulting group is presented. The copycat score (‘CopyScore’) is the difference of the fund’s aggregate portfolio weight in stocks in which is imitates trades (‘wFoll’), minus those in which it leads (‘wLead’). ‘Funds’ is the average number of funds in each group. ‘TNA’ is fund Total Net Assets. Expense ratio, turnover ratio, actual 12b1 expenses and percentages of common equity (‘PerCom’) and cash (‘PerCash’) are obtained from quarterly data. Monthly gross returns are obtained by adding back 1/12th of annual expenses to CRSP reported net monthly returns. ‘Following’ is the average number of funds followed by each imitator.