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Permission to reprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ™.

Not for distribution to the public. Copyright © 2015 by Standard & Poor’s Financial Services LLC (S&P). All rights reserved.

Ruben Falk

Sr. Director, Investment Management

January 2015

Smart Money Strategies Following Hedge Fund And Institutional Ownership

2 Permission to reprint or distribute any content from this presentation requires the prior written approval of S&P Capital IQ. Not for distribution to the public.

Agenda

• Overview of trends and characteristics of hedge fund and traditional

ownership in major U.S. indices

– S&P 1500® Index and Russell 2000® Index

• Performance of hedge fund holdings and related signals

• Relative importance of short vs. long holdings

• Forecasting horizon of the signals

• Interaction between hedge fund and traditional institutional holdings

• Compare and contrast performance within large cap., mid cap. and small cap.

• Return and risk attribution of hedge fund derived portfolios


Tools And Data

• S&P Capital IQ Ownership

– Covers global institutional ownership back to 2004

– This study focuses on U.S. 13-F filings and associated institutional categorization and aggregation

• Short interest and market data

• S&P and Russell indices including constituent float data

• ClariFI® strategy simulation and portfolio construction platform, including

– Factor back-tester

– Strategy simulation and portfolio construction

– Portfolio attribution

• S&P Capital IQ Fundamental U.S. Risk Model

• Date Range: September 2004 – December 2014

• Transaction costs not explicitly considered


Related Papers

• Well documented positive relationship between institutional ownership and future equity returns

(e.g. Jiao & Liu, 2008, Yan & Zhang, 2007, Gompers & Metrick, 2001). This research attributed the

outperformance to “independent” institutions (not banks and insurers) and “short-term” institutions

(as defined by fund turnover)

• Cremers & Petajisto (2009) and Jiang et al. (2010) showed that deviations from benchmarks (“active

share”) predicted fund performance and returns on individual stocks. Jiang & Sun (2011) went on to

find that high dispersion in mutual fund active share resulted in additional outperformance

• Increase in ownership breadth among institutional investors has also been found to be associated

with subsequent outperformance (e.g. Sias et al., 2001, Chen et al., 2002)

• Blume & Keim (2012) found that institutional breadth explains the cross section of liquidity and that

the power of the number of institutional owners in explaining illiquidity is significantly stronger in

the second part of their sample period, 1996-2010, than the first part, 1982-1995

• Dimitrov & Gatchev (2010) found that turnover of ownership between institutions and individuals

(but not amongst institutions) is negatively related to subsequent stock returns

• Agarwal et al. (2011) found that “confidential holdings” of institutional investors exhibit superior

performance for up to 12 months during the confidentiality period

Please see reference addendum page at the end of this presentation.


Institutional Background: Form 13-F

• Form 13F: Quarterly holdings disclosure by 13F institutions (>$100MM assets)

• Timeline of original and confidential filings

– Filing date of original 13-F filing must be within 45 days of the calendar quarter end

– An exception to the 13(f) rule allows for confidential treatment of certain holdings through amendments

to the Form 13F. The deadline for amendments is generally one year after the original 45-day deadline

• The ownership data is stored and aggregated with reference to the portfolio (or holding)

date. In this study, we then lag the data by 45 days to two months

• Fortunately the look-ahead bias is likely to be minimal:

2014 2013 2010-14

Total 13-F filings (approx. 22% Hedge Funds) 15,724 14,784 71,862

– Restatements (errors, no new holdings) 355 707 3882

– Amendments (previously confidential, approx. 50% HF’s) 157 124 890

Amendments as % of total 1.0% 0.8% 1.2%

Source: S&P Capital IQ as of November. 30, 2014. Agarwal, Jiang et al., October 2012.

Please note: 13f is a filing for discretionary securities holdings >100 mm and non-discretionary securities are excluded from reporting.


S&P 1500 Ownership At A Glance

Note: Institutional Ownership excludes hedge fund holdings that are >5% of the shares outstanding of a constituent company. Traditional Institutions include Banks &

Insurance, Pension Funds & Endowments, Traditional Investment Managers and certain smaller categories such as Family Offices but excludes Hedge Funds.

Souurce: S&P Capital IQ, ClariFI information as of Sep. 30, 2014.

0

5

10

15

20

CIQ Ownership9/30/2014

US

D T

rillio

n

S&P 1500 Aggregate Ownership

Retail & Other

Individuals/Insiders

Hedge Funds

Trad. Institutions

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

S&P 1500 Institutional Ownership (main components)

Banks & Insurance

Pension Funds &Endowments

Hedge Funds (< 5%)

Trad. InvestmentManagers


Another Take On Aggregate Ownership

Note: Traditional Institutions include Banks & Insurance, Pension Funds & Endowments, Traditional Investment Managers and certain smaller categories such as Family

Offices but excludes Hedge Funds.

Source: S&P Capital IQ, ClariFI information as of Sep. 30, 2014.

$-

$5.00

$10.00

$15.00

$20.00

US

D T

rillio

n

S&P 1500 Aggregate Ownership

Strategic Holders(implied)

Float

Public & Other


Hedge Funds

Trad. Institutions

$-

$0.10

$0.20

$0.30

$0.40

$0.50

$0.60

$0.70

$0.80

Long Short Interest Net

US

D T

rillio

n

S&P 1500 Aggregate Hedge Fund Ownership


Example: Herbalife Ltd

• Hedge Funds have a net short

position

• Traditional institutional ownership

is overstated compared to shares

outstanding

• As we will see later, the interaction

between hedge fund and traditional

institutional ownership appears to

contain useful information

Note: Traditional Institutions include Banks & Insurance, Pension Funds & Endowments, Traditional

Investment Managers and certain smaller categories such as Family Offices but excludes Hedge Funds

Source: S&P Capital IQ, ClariFI information as of Sep. 30, 2014. For illustrative purposes only.

0

25,000

50,000

75,000

100,000

125,000

CIQOwnership

ShortInterest

Shares Out

Sh

are

s (

000’s

)

Herbalife Ownership

Public & Other


Hedge Funds

Trad. Institutions


Trends In Hedge Fund Ownership

*Numbers refer to latest aggregate hedge fund holdings in the respective indices.

**Hedge fund holdings exclude holdings that are >5% of the shares outstanding of a constituent company.


-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

Aggregate Hedge Fund Ownership** / Total Index Float – S&P 1500

Long Side

Net

0.0%

2.5%

5.0%

7.5%

10.0%

12.5%

15.0%

S&P 500 S&P 400Mid Cap.

S&P 600Small Cap.

Russell 2000

Aggregate Long Hedge Fund Ownership / Total Index Float

$0.59TN*

$0.06TN*

$0.21TN*

$0.13TN*


110 72 51 32 22

77 74 59 45 35

55 67 65 55 46

34 52 65 69 65

11 23 49 86 120

Hedge Fund Holdings Correlated With Idiosyncratic Risk

111 65 56 40 23

81 71 64 52 27

54 64 65 62 48

32 53 59 69 78

16 41 49 70 117

114 93 67 49 36

94 91 75 62 43

76 81 81 71 60

54 64 79 85 87

27 38 65 99 140

128 85 66 52 45

90 80 73 71 66

73 75 75 78 82

56 71 78 84 95

35 69 90 96 92

Russell 2000 HF Long Russell 2000 HF Short

S&P 1500 HF Long S&P 1500 HF Short

Stocks with high

hedge fund

holdings*

Stocks with low

hedge fund

holdings*

Stocks with high

hedge fund

holdings*

Stocks with low

hedge fund

holdings*

Stocks with

high stock

specific risk

Stocks with

low stock

specific risk

Stocks with

high stock

specific risk

Stocks with

low stock

specific risk

= Avg.

Count x

Average Number Of Stocks By Quintile 2004 – 2014

*Defined as aggregate hedge fund holdings divided by float.

Note: Hedge fund holdings exclude holdings that are >5% of the shares outstanding of a constituent company.

Source: S&P Capital IQ, ClariFI information Sep. 30, 2004 - Sep. 30, 2014.


“Naïve Hedge Fund Follower” Strategy

50

75

100

125

150

175

200

225

250

275

300

Ind

ex

S&P 1500

No Lag

Lagged by 2 Months

Benchmark

Annualized Return

S&P 1500 Russell 2000

10.5% 7.8%

9.7% 6.7%

8.7% 9.0%

• The naïve strategy buys a portfolio that has the same weights as the aggregate long portfolio of all

hedge funds – As of the fiscal period end date of the hedge fund 13-F filings (no lag)

– 15 days after the latest allowed 13-F filing dates (2 months lag)

– Quarterly rebalancing

Note: Past performance is not an indication of future results. Indexes are unmanaged, statistical composites and it is not possible to invest directly in an index. These results

are inherently limited because they do not represent the results of actual trading and were constructed with the benefit of hindsight. The returns shown do not reflect payment

of any sales charges or fees an investor would pay to purchase the securities they represent. The imposition of these fees and charges would cause actual and back tested

performance to be lower than the performance shown.

Source: S&P Capital IQ, ClariFI information Sep. 30, 2004 - Dec. 31, 2014. For illustrative purposes only.


“Hedge Fund Share” Strategy

• This strategy selects the top 20% of stocks (cap weighted) according to:

Aggregate Long and Net HF Holdings Divided by the Float Quarterly rebalancing 15 days after the latest allowed 13-F filing date (2 months lag)

0

50

100

150

200

250

300

350

400

Ind

ex

S&P 1500

HF Long Side / Float

HF Net / Float

Benchmark

Annualized Return


12.9% 12.1%

11.2% 14.0%

8.7% 9.0%

• For S&P 1500 the value of the signal is only in the long

hedge fund holding information

• For Russell 2000 there is value in both the long and

short hedge fund holding information, even for a long

only strategy

Note: Past performance is not an indication of future results. Indexes are unmanaged, statistical composites and it is not possible to invest directly in an index. These results

are inherently limited because they do not represent the results of actual trading and were constructed with the benefit of hindsight. The returns shown do not reflect payment

of any sales charges or fees an investor would pay to purchase the securities they represent. The imposition of these fees and charges would cause actual and back tested

performance to be lower than the performance shown.



Hedge Fund Share: Signal Decay

Aggregate Net Hedge Fund Holdings Divided by the Float

Note: Past performance is not an indication of future results.


0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5

5.0

-2 -1 1 2 3 4 5 6 7 8 9 10 11

Month

IC T-Statistic

0.000

0.005

0.010

0.015

0.020

0.025

-2 -1 1 2 3 4 5 6 7 8 9 10 11

Month

Information Coefficient (IC)

S&P 1500

Russell2000

95%

confidence

level

13-F Deadline

Sweet-spot


Importance of Long vs. Short Hedge Fund Holdings

0%

2%

4%

6%

8%

10%

12%

14%

16%

An

nu

alized

Retu

rn

S&P 1500 HF Ownership/Float

Net

Long

Short

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

Russell 2000 HF Ownership/Float

Stocks with

high levels

of long HF

holdings and

small short

positions

Stocks with

low levels of

long HF

holdings and

large short

positions

Ditto Ditto

Note: Hedge fund holdings exclude holdings that are >5% of the shares outstanding of a constituent company. Returns are capitalization weighted and measured 3 months

forward from the 45-day 13-F deadline each quarter. Past performance is not an indication of future results. Indexes are unmanaged, statistical composites and it is not

possible to invest directly in an index. These results are inherently limited because they do not represent the results of actual trading and were constructed with the benefit

of hindsight. The returns shown do not reflect payment of any sales charges or fees an investor would pay to purchase the securities they represent. The imposition of

these fees and charges would cause actual and back tested performance to be lower than the performance shown.



Trends In Traditional Institutional Ownership

Note: Note: Traditional Institutions include Banks & Insurance, Pension Funds & Endowments, Traditional Investment Managers and certain smaller categories such as Family Offices

but excludes Hedge Funds. Institutional ownership time series excludes hedge fund holdings that are >5% of the shares outstanding of a constituent company.


0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

Aggregate Inst. Ownership/ Total Index Float – S&P 1500

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

S&P 500 S&P 400Mid Cap.

S&P 600Small Cap.

Russell 2000

Aggregate Trad. Inst. Ownership/ Total Index Float


Implications Of Traditional Institutional Ownership

0%

2%

4%

6%

8%

10%

12%

14%

An

nu

alized

Retu

rn

Traditional Institutional Ownership/Float

S&P 1500

Russell 2000

Note: Traditional Institutions include Banks & Insurance, Pension Funds & Endowments, Traditional Investment Managers and certain smaller categories such as Family Offices but excludes Hedge

Funds. Returns are capitalization weighted and measured 3 months forward from the 45-day 13-F deadline each quarter. Past performance is not an indication of future results.


Stocks with high traditional institutional ownership

Stocks with low traditional institutional ownership

• In line with previous research,

low levels of traditional

institutional ownership coincide

with under performance

• But traditional institutional

ownership provides a much

weaker signal than hedge fund

ownership


Intersection Of Hedge Fund And Traditional Institutional Ownership

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

An

nu

alized

Retu

rn

Top 20% of Hedge Fund Ownership Share*

S&P 1500

Russell 2000

Stocks with high

traditional

institutional

ownership

Stocks with low

traditional

institutional

ownership

• In the Russell 2000, the returns of

stocks with high levels of hedge

fund ownership were reinforced by

higher levels of traditional

institutional ownership

• However in the S&P 1500, the best

performing stocks had high levels

of hedge fund ownership AND low

levels of traditional institutional

ownership

• The top-bottom spreads are

statistically significant at the 98%

level for both S&P 1500 and

Russell 2000

*Defined as hedge fund holdings divided by float. Hedge fund holdings are long only for S&P 1500 and net for Russell 2000


Funds. Hedge fund holdings exclude holdings that are >5% of the shares outstanding of a constituent company. Returns are capitalization weighted and measured 3 months forward from the 45-day

13-F deadline each quarter. Past performance is not an indication of future results.



“Intersection Strategy” For The S&P 1500

• The final strategy selects the intersection of

– Aggregate Long HF Holdings/Float (top 20% or 300 stocks), and

– Aggregate Traditional Institutional Holdings/Float (bottom 20% or 300 stocks)

• Two months lag, quarterly rebalancing, cap. weighted (holding constraint)

Note: Past performance is not an indication of future results. Indexes are unmanaged, statistical composites and it is not possible to invest directly in an index. These

results are inherently limited because they do not represent the results of actual trading and were constructed with the benefit of hindsight. The returns shown do not

reflect payment of any sales charges or fees an investor would pay to purchase the securities they represent. The imposition of these fees and charges would cause actual

and back tested performance to be lower than the performance shown.


Annualized Return

15.7%

13.7%

8.7%

0

50

100

150

200

250

300

350

400

450

500

Ind

ex

Strategy (unconstrained)

Strategy (max 5%)

S&P 1500


Large Cap. Intersection Strategy Event Study

10%

11%

12%

13%

14%

15%

16%

17%

18%

19%

20%

65%

66%

67%

68%

69%

70%

71%

72%

73%

74%

75%

-12 -9 -6 -3 0 3 6 9 12

Month of Intersection Portfolio Formation

Ownership as % of Float – S&P 500 Intersection Strategy

TraditionalInstitutions(LHS)

HedgeFunds(RHS)


Funds. Hedge fund holdings exclude holdings that are >5% of the shares outstanding of a constituent company. The “intersection strategy” in the S&P 500 is the top 100 stocks ranked by long hedge

fund holdings divided by float intersected with the bottom 100 stocks ranked by traditional institutional ownership divided by float and rebalanced quarterly with a 2-month lag.

Source: S&P Capital IQ, ClariFI information Sep. 30, 2004 - Feb. 28, 2014. For illustrative purposes only.

• It appears that for stocks with high hedge fund ownership share and low traditional

ownership share, hedge funds have been able to anticipate the rotation of traditional

institutions back into these stocks


“Intersection Strategy” For The Russell 2000

• In this case, the final strategy selects the intersection of

– Aggregate Net HF Holdings/Float (top 20% or 400 stocks), and

– Aggregate Traditional Institutional Holdings net of Shorts/Float (top 20% or 400 stocks)

• Two months lag, quarterly rebalancing, cap. weighted (holding constraint)

Note: Past performance is not an indication of future results. Indexes are unmanaged, statistical composites and it is not possible to invest directly in an index. These

results are inherently limited because they do not represent the results of actual trading and were constructed with the benefit of hindsight. The returns shown do not

reflect payment of any sales charges or fees an investor would pay to purchase the securities they represent. The imposition of these fees and charges would cause actual

and back tested performance to be lower than the performance shown.


0

100

200

300

400

500

600

700

800

900

Ind

ex

Strategy (unconstrained)

Strategy (max 5%)

Russell 2000

Annualized Return

18.3%

22.1%

9.0%


Risk And Return Attribution

Unconstrained “Intersection Strategies”

Note: Past performance is not an indication of future results.


Sep. 30, 2004

To

Dec. 31, 2014


Active

Exposure

Contribution

to Active

Return

Contribution

to Tracking

Error

Percent of

Tracking

Error

Active

Exposure

Contribution

to Active

Return

Contribution

to Tracking

Error

Percent of

Tracking

Error

Factor -0.7% 7.8% 53.7% 0.6% 4.5% 30.2%

Market 0.13 1.8% 3.8% 11.2% -0.08 -0.2% 1.7% 6.0%

Style -2.9% 5.5% 24.3% 0.0% 2.8% 10.9%

Valuation 0.17 -0.4% 1.4% 1.1% -0.09 0.1% 0.5% 0.7%

Size 0.07 -0.6% -0.9% 0.1% 0.14 -0.2% 1.5% 4.4%

Analyst Expectation 0.05 -1.0% 2.2% 1.8% 0.14 -0.3% 1.2% 1.6%

Historical Growth 0.54 -1.0% -0.8% 1.4% 0.11 -0.9% 1.5% 1.6%

Capital Efficiency -0.71 -0.4% 2.6% 5.3% -0.12 0.7% 0.8% 0.9%

Price Momentum 0.39 0.1% -2.1% 1.8% -0.07 0.0% 0.6% 0.9%

Earnings Quality -0.16 -1.2% 2.5% 2.0% -0.02 0.0% 0.6% 0.6%

Volatility 0.50 1.4% 4.0% 10.8% 0.05 0.7% 0.6% 0.3%

Industry 0.04 0.3% 4.0% 18.3% -0.07 0.8% 3.1% 13.3%

Stock Specific 7.8% 6.2% 46.3% 8.7% 5.9% 69.8%

Grand Total 7.0% 9.9% 100.0% 9.3% 7.4% 100.0%


Short Signals

• The best shorting signal during the test period was

– Aggregate Long or Net HF Holdings/Float, combined with

– One quarter % change in institutional breadth (number of institutional holders)

-4%

-2%

0%

2%

4%

6%

8%

10%

12%

14%

16%A

nn

ualized

Retu

rn

20% of Stocks with Most Negative* Change in Institutional Breadth

S&P 1500

Russell 2000

Stocks with

high levels of

long or net HF

holdings**

Stocks with

low levels of

long or net HF

holdings** *Or least positive.

**Defined as hedge fund holdings divided by float. Hedge fund holdings are long only for S&P 1500 and net for Russell 2000. Note: Hedge fund holdings exclude holdings that are >5% of the shares

outstanding of a constituent company . Returns are capitalization weighted and measured 3 months forward from the 45-day 13-F deadline each quarter. Past performance is not an indication of future results.

Indexes are unmanaged, statistical composites and it is not possible to invest directly in an index. These results are inherently limited because they do not represent the results of actual trading and were

constructed with the benefit of hindsight. The returns shown do not reflect payment of any sales charges or fees an investor would pay to purchase the securities they represent. The imposition of these fees

and charges would cause actual and back tested performance to be lower than the performance shown.



Performance Summary

Compound

Ann. Return

Ann.

Risk

Compound

Return/Risk Ratio

Ann. Tracking

Error

Ann. One-Way

T/O

S&P 1500

Benchmark 8.7% 20.4% 0.42 0 ~0

HF Share Strategy

(Long HF Holdings) 12.9% 22.2% 0.58 6.3% 154%

Intersection Strategy

(Unconstrained) 15.7% 21.8% 0.72 8.7% 217%


(5% Holding Constraint) 13.7% 22.8% 0.60 9.1% 218%

Russell 2000

Benchmark 9.0% 26.1% 0.34 0 ~0

HF Share Strategy

(Net HF Holdings) 14.0% 27.0% 0.52 5.3% 193%


(Unconstrained) 18.3% 26.9% 0.68 7.7% 250%



Note: Past performance is not an indication of future results. Returns are capitalization weighted. Indexes are unmanaged, statistical composites and it is not possible to invest

directly in an index. These results are inherently limited because they do not represent the results of actual trading and were constructed with the benefit of hindsight. The

returns shown do not reflect payment of any sales charges or fees an investor would pay to purchase the securities they represent. The imposition of these fees and charges

would cause actual and back tested performance to be lower than the performance shown.



Performance Summary: Other Large Cap. Indices

Compound

Ann. Return

Ann.

Risk

Compound

Return/Risk Ratio

Ann. Tracking

Error

Ann. One-Way

T/O

S&P 500

Benchmark 8.4% 20.2% 0.42 0 ~0

HF Share Strategy

(Long HF Holdings) 12.7% 22.6% 0.56 6.3% 146%


(Unconstrained) 16.0% 23.4% 0.69 10.1% 222%


(Equal Weight) 16.9% 25.8% 0.65 11.4% 209%

Russell 1000

Benchmark 8.7% 20.1% 0.42 0 ~0

HF Share Strategy

(Long HF Holdings) 12.3% 22.7% 0.54 6.6% 162%


(Unconstrained) 16.9% 21.6% 0.78 8.8% 228%



Note: Past performance is not an indication of future results. Returns are capitalization weighted except where noted. Indexes are unmanaged, statistical composites and it is

not possible to invest directly in an index. These results are inherently limited because they do not represent the results of actual trading and were constructed with the benefit

of hindsight. The returns shown do not reflect payment of any sales charges or fees an investor would pay to purchase the securities they represent. The imposition of these

fees and charges would cause actual and back tested performance to be lower than the performance shown.



Takeaways

• Hedge fund conviction as measured by aggregate hedge fund ownership share as a

percentage of float appears to have provided a useful stock picking signal,

particularly since 2009

• The forecasting horizon of the signal has been around 3 months – around the same

as the frequency of 13-F reporting

• Short interest is an important component of the signal for small cap but less for

large cap

• In general, low levels of traditional institutional ownership have been associated

with underperformance

• However in large cap’s, particularly the S&P 500, portfolios with low traditional

institutional share combined with high hedge fund share have outperformed

– Relatively high retail ownership in the S&P 500 may be a factor. Are hedge funds able to

successfully anticipate rotation between retail and institutional investors?

• Hedge fund share appears to have provided the strongest signals in the S&P 500

and the bottom 1,500 stocks of the Russell 2000 on a cap weighted basis

• Decrease in institutional breadth combined with low hedge fund share may be a

useful short signal


Q&A

Ruben Falk

Sr. Director, Investment Management


Appendix


Reference Addendum

• Blume and Keim (2012)

Institutional Investors and Stock Market Liquidity:

Trends and Relationships

• Chen, Hong and Stein (2001)

Breadth of ownership and stock returns

Journal of Financial Economics, 66 (2002) 171–205

• Jiang and Sun (2011)

Dispersion in Beliefs among Active Mutual Funds and the

Cross-Section of Stock Returns

Journal of Financial Economics, Volume 114, Issue 2, November 2014,

Pages 341–365

• Dimitrov and Gatchev (2008)

Do Institutions Pay to Play? Turnover of Institutional Ownership and Stock

Returns *

• Jiao and Liu (2008)

Independent Institutional Investors and Equity Returns

• Yan (Sterling) and Zhang (2009)

Institutional Investors and Equity Returns:

Are Short-term Institutions Better Informed?

The Review of Financial Studies, (2009) 22 (2): 893-924

• Gompers and Metrick (2001)

Institutional Investors and Equity Prices*

The Quarterly Journal of Economics 116(1), February 2001, 229-259

• Sias, Starks and Titman (2001)

The Price Impact of Institutional Trading

• Cremers and Petajisto (2009)

How Active Is Your Fund Manager? A New Measure That Predicts

Performance*

AFA 2007 Chicago Meetings Paper; EFA 2007 Ljubljana Meetings Paper;

Yale ICF Working Paper No. 06-14

• Jiang, Verbeek and Wang (2013)

Information Content when Mutual Funds Deviate from Benchmarks*

AFA 2012 Chicago Meetings Paper

• Agarwal, Jiang, Tang and Yang (2013)

Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide*

The Journal of Finance, Volume 68, Issue 2, pages 739–783, April 2013


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