On the anomaly tilts of factor funds
通过分析持仓，发现部分对冲基金和智能贝塔ETF持续向已知异常特征倾斜，且对冲基金的空头头寸放大了这种倾斜；倾斜大的对冲基金在扣除成本后表现优于ETF或反向倾斜基金，其超额收益与空头头寸和因子回报相关。
Abstract By analyzing portfolio holdings, we find that a significant subset of hedged mutual funds (HMFs) and smart‐beta exchange‐traded funds (ETFs) tilt their portfolios toward well‐known anomaly characteristics and that such tilts are highly persistent. Short positions of HMFs are important for amplifying their factor tilts. Moreover, HMFs with large factor tilts outperform corresponding ETFs, or HMFs with contrary tilts, both before and after accounting for implementation costs and fees. We link this outperformance to the use of short positions and higher factor‐related returns. Finally, we show that only HMFs achieve similar performance (net of costs) as the academic factors.