Which Factors Matter to Investors? Evidence from Mutual Fund Flows
通过分析共同基金资金流与近期收益分解的关系，发现投资者最关注市场风险（贝塔），而将规模、价值、动量等因子收益视为阿尔法；更成熟的投资者使用更复杂的基准。
When assessing a fund manager’s skill, sophisticated investors will consider all factors (priced and unpriced) that explain cross-sectional variation in fund performance. We investigate which factors investors attend to by analyzing mutual fund flows as a function of recent returns decomposed into alpha and factor-related returns. Surprisingly, investors attend most to market risk (beta) when evaluating funds and treat returns attributable to size, value, momentum, and industry factors as alpha. Using proxies for investor sophistication (wealth, distribution channels, and periods of high investor sentiment), we find that more sophisticated investors use more sophisticated benchmarks when evaluating fund performance. Received August 14, 2015; accepted May 3, 2016 by Editor Stefan Nagel.