Thematic Concentration and Mutual Fund Performance
研究发现，通过文本分析识别股票主题暴露并构建主题集中度指数，高集中度基金年化四因子alpha达4.26%，业绩优势源于选股能力而非择时，且与经理本科专业相关。
Abstract This study examines whether mutual fund managers generate alpha through thematic investment strategies that select stocks poised to benefit from specific themes. Using textual analysis of 10-K filings, we identify stocks’ thematic exposures and construct each fund’s thematic concentration index (TCI) from its holdings. High-TCI funds significantly outperform, with a top-minus-bottom decile spread of 4.26% in annualized four-factor alpha. Managers’ thematic expertise is related to their undergraduate field of study. Outperformance arises from superior stock selection rather than theme-related timing, with an informational advantage on firm earnings, particularly in stocks exposed to themes related to managers’ undergraduate training.