EconStor >
Universität zu Köln >
Centre for Financial Research (CFR), Universität Köln >
CFR Working Papers, Centre for Financial Research (CFR), Universität Köln >

Please use this identifier to cite or link to this item:
Title:On the use of options by mutual funds: Do they know what they are doing?
Authors:Cici, Gjergji
Palacios, Luis-Felipe
Issue Date:2011
Series/Report no.:CFR working paper 11-08
Abstract:Using detailed holdings of exchange-traded options, we examine how mutual funds use options and how options affect portfolio performance and risk. Options users underperform nonusers by two to three percent per year. The underperformance is especially pronounced for funds that are heavy users of options and employ directional strategies. These findings disprove the claim that mutual funds that use options have either superior talent or possess better information, which they try to leverage in the options market. Additional analysis suggests that active hedging or riskneutral strategies, rather than active risk-taking, is a more likely reason why mutual funds use options.
Is replaced by the following version:
Document Type:Working Paper
Appears in Collections:CFR Working Papers, Centre for Financial Research (CFR), Universität Köln

Files in This Item:

There are no files associated with this item.

The document was removed on behalf of the author(s)/ the editor(s) on: March 7, 2013
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.