A skew is a skill: Portfolio skewness of mutual fund holdings
研究发现共同基金持仓组合的收益率截面平均呈正偏态，高偏度基金年化跑赢低偏度基金2.88%，且偏度能预测基金业绩，源于选股能力。
The return cross-section of a mutual fund’s portfolio holdings is positively skewed on average. At the fund level, portfolio skewness varies substantially across funds but remains highly persistent over time. We show that actively managed mutual funds with high portfolio skewness outperform funds with low skewness by 2.88% ($7.35 million) on an annualized basis. This association is not driven by past performance of portfolio holdings and becomes stronger amid more investment opportunities in the market. Further stock-level analyses reveal that shares added or tilted to by high skewness funds relative to low skewness funds significantly outperform their counterparts, pointing to stock selection skill as an explanation for both the portfolio skewness and its predictability of fund performance. In addition, funds with higher skewness attract higher inflows.