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

Financial Innovation

Table 3 Returns of stocks held by mutual funds

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, in ascending order. Every quarter, each fund’s holdings are separated into stocks in which the fund Follows other fund’s trades, those in which it Leads, and those in which it does Neither. The first three columns of the table show the total portfolio weight of each type of stock, whereas the next three columns depict the average return of stocks in each category. The final two columns show the difference in returns between stocks in which the fund Leads minus those in which it Follows, and between stocks in which it Leads minus those in which it does Neither. The data spans the years 2000–2016. Statistical significance of return differences is denoted by ∗∗∗, ∗∗ and ∗ for significance at the 1%, 5% and 10% levels, respectively