The investment value of mutual fund portfolio disclosure

  title={The investment value of mutual fund portfolio disclosure},
  author={Russ Wermers and Tingge Yao and Jane Zhao},
This paper shows that publicly disclosed mutual fund portfolio holdings have investment value. Our approach is based on the intuition that an overweighting by successful managers, or an underweighting by unsuccessful managers signals that a stock is currently underpriced. Investment strategies based on portfolio holdings, weighted by past fund performance, generate returns exceeding seven percent during the following year, adjusted for the size, book-to-market, and momentum characteristics of… CONTINUE READING


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