Electronic copy available at: http://ssrn.

com/abstract=2217700
!
Asset management and investment banking

Janis Berzins
BI Norwegian Business School

Crocker H. Liu
Cornell University

Charles Trzcinka*
Indiana University

April 26, 2013



Abstract

We Iind evidence that conIlicts oI interest are pervasive in the asset management business owned
by investment banks. Using data Irom 1990 to 2008, we compare the alphas oI mutual Iunds,
hedge Iunds, and institutional Iunds operated by investment banks and non-bank conglomerates.
We Iind that, while no diIIerence exists in perIormance by Iund type, being owned by an
investment bank reduces alphas by 46 basis points per year in our baseline model. Making lead
loans increases alphas, but the dispersion oI Iees across portIolios decreases alphas. The
economic loss is $4.9 billion per year.





JEL classification: G21, G24
Keywords: Investment banks, Institutional Iunds, Hedge Iunds, Mutual Iunds, PerIormance
evaluation

*corresponding author: Charles Trzcinka, Kelley School oI Business, Indiana University, 1309
East First Street, Bloomington, Indiana, 47405; (812) 855-9908 (voice); (812) 856-5611 (Iax);
ctrzcink@indiana.edu
We wish to thank the seminar participants at Indiana University, the University oI
Massachusetts, Texas Tech University, College oI William and Mary, BI Norwegian Business
School, and Syracuse University Ior constructive comments. We are grateIul to Jaden Falcone,
Veronika Krepley-Pool, Xiaomeng Lu, and Scott Yonker.

Electronic copy available at: http://ssrn.com/abstract=2217700
"
1. Introduction
The critical issue Ior Iinancial economists studying conIlicts oI interest in Iinancial
institutions is the balance between the value added oI an institution and the potential harm
arising Irom conIlicts oI interest. A conIlict oI interest is deIined as a situation in which a party
to the transaction can gain at the expense oI another party. Its occurrence does not necessarily
mean that, in equilibrium, it results in an economic loss. As discussed in Mehran and Stultz
(2007), the many potential conIlicts oI interest Ior investment banks are typically accompanied
by a variety oI mechanisms that control the impact oI conIlicts oI interest. Bolton, Freixas and
Shapiro (2007) develop a theory that models the interplay between conIlicts oI interest and their
impact. The model predicts that, when proIit margins are equal across products, conIlicts will
have less oI an impact Ior the clients oI an integrated Iinancial institution than oI a specialized
institution. The question oI whether the mechanisms control conIlicts is ultimately an empirical
one. We examine this question by testing whether diversiIication oI activities within Iinancial
institutions adds value to assets under management due to inIormation links or subtracts value
due to conIlicts oI interest. The literature has ignored the large portIolios oI publicly traded
assets operated by investment banks with the exception oI Massa and Rehman (2008) and Ritter
and Zhang (2007), both oI whom Iocus on bank operated mutual Iunds. This is surprising given
that investment banking is highly regulated and, now, publicly supported. To Iill the gap, we
compare asset management services oIIered by investment banks with the same services oIIered
by specialized Iirms, which do not engage in the range oI activities oI an investment bank.
Because investment banks operate many types oI portIolios, any study oI investment banking
and portIolio management inevitably requires an examination oI the economics oI investment
contracts. Investors who do not directly invest their money must choose not only the type oI
#
organization that manages their investments but also the type oI contract that governs the
relationship with the manager. The eIIiciency oI the contract Iorm is clearly important Ior
researchers in evaluating whether investment banks add or subtract value compared with other
organizations. Existing studies oI contract Iorm such as Ackerman, McEnally, and RavenscraIt
(1999) and Cici, Gibson, and Moussawi (2010) compare mutual Iunds only with hedge Iunds
and, with the exception oI the side-by-side comparison in Cici, Gibson, and Moussawi (2010),
they do not control Ior diIIerences in the companies that oIIer these portIolios. Variation in assets
under management, centralization oI inIormation gathering and trading, economies oI scale,
transactions costs levels, and risk control can create risk-return diIIerences across portIolio type.
A distinguishing Ieature oI this study is the comparison oI the investment perIormance oI three
types oI delegated portIolios: mutual Iunds, hedge Iunds, and institutional Iunds. We compare
portIolios owned by investment banks versus those owned by nonbank Iinancial services groups,
which we simply call Iinancial conglomerates. Our sample consists oI all Iinancial groups, both
investment banks and Iinancial conglomerates that managed all three types oI portIolios Ior at
least one year during 19902008 and reported their perIormance data to widely available
databases. There are 23 investment banks and 48 non-investment banks in our data. We examine
the impact oI investment banks (and the investor contract Iorm) on the alphas oI all portIolios
that these Iinancial groups operated during the time period. We compare investment banks only
with other Iinancial groups to control Ior the eIIect oI omitted variables. Comparing investment
bankoperated portIolios with portIolios not in a Iinancial group is likely to increase the eIIect oI
omitted variables because comprehensive investment organizations centralize services that
portIolio managers commonly demand.
$
To examine the risk-return diIIerences, we estimate alphas on unsmoothed returns using the
moving average process developed by Getmansky, Lo, and Makarov (2004) to account Ior
diIIerences in portIolio exposure to various risk Iactors. We use a seven-Iactor model with time-
varying alphas similar to Agarwal and Naik (2004).We test the hypothesis that investment banks
produce diIIerent alphas relative to nonbank conglomerates by examining the cross-sectional
regression oI Iund alphas on control variables and type oI organization. Our tests show that the
Iorm oI the contract oIIered to investors does not matter once the control variables are included.
While the contract Iorm is occasionally signiIicant in year-by-year regressions, competition
equalizes the impact oI the three contract Iorms across time. It is clear that the control variables
are a critical part oI explaining the diIIerence between types oI contracts. However, when the
data are conIined to a single contract, these organizations appear to be optimized Ior institutional
clients because the control variables do not matter Ior institutional Iunds. For hedge Iunds and
mutual Iunds, the control variables are signiIicant.
Our Iindings show that the organizational ownership structure matters. On average, investors
experience a lower alpha oI 46 basis points per year when an investment bank operates a Iund.
The harm is largely borne by mutual Iund investors and depends on the Iee dispersion across
portIolios oIIered by the investment bank and the participation oI the investment bank in lead
loans during the year. It does not depend on equity or debt underwriting business. The greater the
Iee dispersion, the more the harm; the more the participation in lead loans, the lower the harm.
The eIIect oI investment bank ownership is material amounting to at least $93 billion loss over
the 19-year sample, but the dollar loss is time-varying. For 14 years oI the 19-year sample, the
costs oI being owned by a bank were higher than the beneIits. There were only Iive years, 1993
%
1994 and 20012003, when the beneIits oI being owned by an investment bank outweighed the
costs.
The paper proceeds as Iollows. Section 2 reviews the relevant literature and develops the
hypotheses. Section 3 presents the sample collection process and introduces descriptive statistics.
Section 4 discusses our procedures Ior correcting selection biases in our sample and the
methodology Ior testing our hypotheses. Section 5 discusses results and Section 6 concludes.
2. Hypotheses
We proceed by outlining theory papers that examine conIlicts oI interest Ior investment
banks.
2.1 !"#$%&'() "$ &#(*+*)() $"+ &#,*)(-*#( ./#0&#1
The Bolton, Freixas, and Shapiro (2007) model predicts that an integrated Iinancial
institution is more capable oI oIIering an appropriate product Ior a customer simply because it
has more products than a specialized Iinancial Iirm. However, this also gives the integrated Iirm
more opportunities to oIIer inappropriate products. In the model, the Iinancial institution
maximizes proIits net oI the reputation cost oI lying to customers. II the reputation cost is
suIIiciently high, then there is no conIlict oI interest. However, Mehran and Stulz (2007) argue
that reputation costs are likely not high enough to eliminate conIlict oI interest, and Bolton,
Freixas, and Shapiro careIully examine the case in which reputation costs are lower than proIits.
They show (in Proposition 2) that all conIlicts are eliminated iI the gross margins are the same
across products. Equal gross margins Ior products eliminates the incentive to misdirect the
customer into inappropriate but proIitable products. Mehran and Stulz (2007) observe that, in a
perIectly competitive market Ior asset management services, products have the same proIit
&
margins. Cabral and Santos (2001) use a model with a diIIerent Iocus and develop the
incomplete contracting between the client and the Iinancial institution. Their Iinancial institution
is better inIormed, which creates a moral hazard problem. By exploiting its superior inIormation
to take advantage oI a relationship with a client, the Iinancial institution takes the risk oI
jeopardizing Iuture transactions with that client. II selling multiple products increases the
likelihood and number oI Iuture transactions, a Iinancial institution selling multiple products
bears a reputation cost oI engaging in a conIlict oI interest. Both theories suggest that
multiproduct Iirms both have more potential conIlicts oI interest and more incentives than
specialized Iirms to reduce the costs oI their conIlicts oI interest. These theories motivate our
Iocus on comparing investment banks, which are multiproduct Iinancial institutions, with
specialized asset managers.
The beneIits oI a Iund being aIIiliated with a multiproduct Iirm is generally described by
Mehran and Stultz (2007) as the 're-usability oI inIormation. Here the inIormation generated by
one product line (e.g., lending, analysts, underwriting) is employed by another product line (e.g.,
asset management) to generate value. The literature has evidence that the re-usability occurs with
bank loans (Massa and Rehman, 2008), initial public oIIerings (Ritter and Zhang, 2007), and
analysts (Irvine, Lipson, and Puckett, 2007). In each case, the costs oI re-usability arise Irom
conIlicts oI interest that are poorly controlled. Whether the multiproduct investment bank
provides more net beneIit to investors than a specialized Iirm is reIlected in the relative net return
aIter all Iees and transactions costs.
2.2. Portfolio type
Two questions arise concerning types oI portIolios: (1) Which contract Iorm is likely to
beneIit or lose Irom an association with investment banks? (2) Which, iI any, contract Iorm is
'
superior? Each contract speciIies diIIerent cash Ilow claims and ownership rights Ior investors
that reduce the agency costs between managers and clients. The portIolio manager is the agent
who has more inIormation about securities than the client who is the principal. Bhattacharya and
PIleiderer (1985) prove that iI the preIerences oI managers can be observed, then a contract can
be designed that Iorces managers to reveal their inIormation eliminating agency costs. In
practice, it is probably impossible Ior such a contract to be written. As a consequence, the
investment business has evolved into three major segments with common contract Ieatures that
attempt to control agency costs Ior the clients in those segments.
Existing studies oI contract Iorm suggest that Iour mechanisms help align these interests:
incentive contracts, ownership structure, market Iorces, and government. The studies are mixed
in their conclusions. Cici, Gibson, and Moussawi (2010) examine a sample oI managers that
manage side-by-side mutual Iunds and hedge Iunds, Iinding evidence that side-by-side managers
strategically transIer perIormance Irom mutual Iunds to hedge Iunds. Ackermann, McEnally, and
RavenscraIt (1999) examine a sample oI hedge Iund data and Iind that the hedge Iunds industry
consistently outperIorms the mutual Iund industry in terms oI Sharpe ratios but do not beat
standard market indices. They attribute some oI the higher perIormance to incentive Iees but,
aIter Iinding that incentive Iees cannot account Ior increased risk, they explain hedge Iund
superiority by the regulatory diIIerences between mutual Iunds and hedge Iunds.
None oI the preceding studies controls Ior diIIerences in the companies that oIIer these
portIolios. Variations in assets under management, centralization oI inIormation gathering,
economies oI scale, transactions costs levels, and risk control can create risk-return diIIerences
across portIolio type. Our paper extends the current literature by oIIering a cross-industry
perIormance comparison within a multiIactor risk adjustment setting while controlling Ior
(
conglomerate eIIects on Iund perIormance. It is the Iirst study to examine portIolios across the
three managed Iund industries. The examination oI the eIIect oI investment banks necessitates
our study oI the diIIerences between the risk and return relation that investors earn due to the
Iorm oI the contract between managers and investors.
2.3. Hypotheses
Our study examines the diIIerences in the risk and return relation that an investor can expect
by investing in one oI the three Iund types, which we reIer to as portIolio hypotheses, and
whether these diIIerences depend on ownership by an investment bank, which we reIer to as
investment banking hypotheses.
Our baseline investment banking hypothesis is whether being owned by an investment bank
adds value to the portIolios under management over being owned by a Iinancial conglomerate.
The hypothesis is strongly suggested by the theories oI Bolton, Freixas, and Shapiro (2007) and
Cabral and Santos (2001). The theoretical literature on conIlicts oI interest suggests that
competitive multiproduct Iirms have Iewer conIlicts than specialized Iirms iI proIit margins are
equal, such as when the market is perIectly competitive. When the market proIit margins are
equal the multiproduct Iirm matches the product to the needs oI the clients because a
multiproduct Iirm has more products than a single product Iirm. In addition, multiproduct Iirms
are more interested in long-term relationships. These studies imply that the sign oI an investment
banking dummy variable indicates value added or subtracted in a regression mode, in which a
portIolio alpha is a Iunction oI the portIolio and organization characteristics.
1


1
The empirical studies Iind that banks have sources oI inIormation that enable asset managers to choose better
securities. See the empirical work oI Massa and Rehman (2008) and Ritter and Zhang (2007), as an example.
)
We add to the baseline hypothesis by considering that the market Ior investment banking
services might not be competitive enough to resolve all conIlicts. Relying on the model oI Bolton,
Freixas, and Shapiro (2007), the dispersion in gross margins on Iinancial products indicates the
degree oI conIlicts oI interest Ior a Iinancial institution. They deIine gross margins as the Iees
paid by investors less all costs oI operating the Iund. UnIortunately, we cannot observe the
economic gross margins on managed portIolios, but we believe Iees oI a Iund are a reasonable
proxy. First, the largest component oI total Iees is the management Iee. For some Iunds this
could precisely measure the economic gross margins, but Ior others the accounting numbers do
not necessarily measure the economic concept. However, it is well recognized that the
management Iee is independent oI the costs oI operating a Iund and is strategically determined.
2

Second, the excess oI total Iee over management Iee is not related to perIormance oI a Iund but
to its size and the number oI clientsat least Ior the small number oI mutual Iunds in our sample
in which we can observe this diIIerence. While we can observe the management Iee Ior some
mutual Iunds, we cannot Ior pension Iunds and hedge Iunds. The management Iee is not
reported separately Irom the total Iee Ior these Iunds, and the management Iee is likely to be
almost equal to the total Iee because hedge Iunds and institutional Iunds do not have the costs oI
retail mutual Iunds serving many small clients. Third, the Iund Iamilies with publicly traded
equity, such as Blackrock (in our sample) and T. Rowe Price (not in our sample), have revenues
that are highly correlated with proIits over time.
3
Revenues are largely, even solely, dependent

2
A central Ieature oI the Berk and Green (2004) model is that managers increase their Iees to the point where
expected returns to investors are competitive. Similarly, Gil-Bazo and Ruiz-Verdu (2009) argue that Iees are
strategically set and that many high Iee Iunds have low gross perIormance.
3
Over the past ten years, the correlation between T. Rowe Price revenue and income was 94, and Ior
Blackrock it was 98. Three other Iirms in our sample are publicly traded, single product, companies: Franklin
Resources, which had a 99 correlation; Diamond Hill Investment, which had a 47 correlation; and Calamos
Asset Management, which had a -21 correlation. The negative correlation is due to charges Irom a subsidiary that
is not an asset management Iirm.
!*
on Iees times assets under management. These reasons suggest that Iees are a reasonable proxy
Ior the economic proIitthe Iocus oI the Bolton, Freixas, and Shapiro model.
We use dispersion oI Iees to test our second investment banking hypotheses that
multiproduct Iirms investment banks with higher conIlicts oI interest should have a lower alpha
to investors. The dispersion oI Iees in a year Ior a Iinancial institution is a proxy Ior conIlicts oI
interest. We expect that the cross-sectional dispersion oI Iees in year t Ior Iinancial institution i
will be negatively related to alphas Ior multiproduct Iirms investment banks.
We deIine portIolio hypotheses as hypotheses that explain diIIerences in abnormal
returns due to contract type. Our Iirst portIolio hypothesis is the management alignment
hypothesis. SpeciIically, the greater the alignment oI interests between management and clients,
the higher the return. II interests are better aligned, agency costs are reduced in two ways. First,
management reveals the inIormation (by actively trading securities) that adds value to the
portIolio. Second, management charges lower expenses Ior the value-adding inIormation and
reduces hidden expenses such as soIt dollars. Thus, we expect that the risk and return relation
diIIers between the organizational Iorms (proxied by portIolio type), reIlecting the variations in
the degree oI alignment.
4

Our second portIolio hypothesis is the Ilexibility hypothesis, that is, as the Iewer
restrictions on the manager, the higher the return to clients. II Iewer restrictions exist,
management is better able to achieve an optimal return Ior the risk taken in an eIIicient market
and better able to use the inIormation that they have iI they receive inIormation that is not
already reIlected in the price oI the security. Ceteris paribus, we expect hedge Iunds and
institutional Iunds to perIorm better than mutual Iunds, which are restricted to liquid securities

4
See the Ackerman, McEnally, and RavenscraIt (1999) discussion on how the principal-agent theoretical
arguments by Holmstrom (1979) and Starks (1987) apply to the asset management.
!!
and diversiIied portIolios. Hedge Iund managers invest their own Iunds, receive high bonus Iees,
can choose long and short positions in any asset, and can Iollow a wide range oI investment
strategies. Institutional Iunds are also subject to much less regulation than mutual Iunds, but their
clients allow them less Ilexibility than hedge Iunds.
The alternative to these two portIolio hypotheses is the theoretical model oI Berk and
Green (2004), who argue that managers capture the wealth created by each portIolio in a
competitive market. They assume that investors observe the skill oI managers and place assets in
portIolios until the marginal beneIit equals the marginal cost. The assumption that the asset Ilow
is in response to manager skill implies that the contract between manager and client Iully reveals
the inIormation oI the manager. Under this hypothesis, we should observe no diIIerence in
perIormance across organizational Iorms. In other words, mutual Iunds should exhibit similar
perIormance to hedge Iunds and institutional Iunds.
2.4. Control variables
With the exception Cici, Gibson, and Moussawi (2010), the previous studies comparing
perIormance across portIolio types do not control Ior diIIerences that have an eIIect on
perIormance but that are not related to portIolio type. We suggest that when these investment
segments are all owned by the same company the eIIect oI omitted variables is mitigated.
Investment conglomerates and banks provide a variety oI services that are centralized and tend to
reduce diIIerences in the segments unrelated to the contract, namely, partially or Iully centralized
inIormation collection, a common resource base to pay Ior inIormation, risk control over all
managed portIolios, common reporting and monitoring to reduce the risk oI Iraud and blowup
risk, and economies oI scale in costs (legal cost, transactions costs). Grossman and Stiglitz
(1980) argue that the more expenditures on manager skill and inIormation, the higher the return.
!"
Because these large Iinancial organizations vary widely in their revenue, we introduce several
control variables that proxy Ior the Grossman and Stiglitz eIIect. We include the assets under
management by the Iund and the conglomerate to control Ior diIIerences in size. In addition, we
control Ior the concentration oI the type oI Iunds because the inIormation and skill could have
some economies oI scope across Iund type. Some conglomerates and investment banks have
mostly mutual Iunds under management, while others have concentrations oI hedge Iunds and
institutional Iunds.
Many hedge Iunds are younger and more active than mutual Iunds and institutional Iunds,
yet this diIIerence has nothing to do with being a hedge Iund. Younger and more active mutual
Iunds could have exactly the same risk-return characteristics. Transactions costs per share are
probably lower Ior the more active and larger portIolios. Institutional portIolios are oIten much
larger than hedge Iunds and mutual Iunds and could incur smaller transactions costs. We use Iees,
revenues, and age to control Ior these diIIerences across portIolios that have nothing to do with
the Iorm oI the contract.
It is reasonable to expect that hedge Iunds would produce a superior risk-return relation
because hedge Iund managers could invest in a wider variety oI assets than mutual and
institutional Iund managers and because incentive schemes diIIer across industries. Ackermann,
McEnally, and RavenscraIt (1999) Iind empirical evidence linking perIormance Iees to improved
hedge Iund perIormance, but not to increased risk. We, thereIore, control Ior the eIIect oI Iees on
Iund alphas in three ways. First, all returns are measured net oI Iees. Second, as an explanatory
variable we include the Iees oI each Iund. Finally, we include the revenue oI the conglomerate
Irom portIolio management.
!#
Goetzmann, Ingersoll, and Ross (2003) Iind decreasing returns to scale among hedge
Iunds that Berk and Green (2004) suggest is related to investor experience with managers.
Empirically, Agarwal, Daniel, and Naik (2009) establish that management companies` age is
negatively related to their perIormance. ThereIore, age is an important control variable.
We discuss the precise measurement oI these variables in the next section.
3. Data collection and descriptive statistics
We identiIied 23 investment banks that managed all three portIolio types during 1990
2008. Our deIinition oI an investment bank is that the organization had to engage in
underwriting. All investment banks except Lehman Brothers and Nomura managed all three
types simultaneously.
5
We matched the investment banks with investment organizations that
reported returns, assets, and other data Ior all three types oI portIolios over this period. The
organization had to report data on all three portIolio types simultaneously Ior at least 12 months.
This resulted in 48 investment organizations that we term conglomerates. Thus, our combined
sample consists oI 71 investment organizations (23 banks and 48 conglomerates) managing a
total oI 621 hedge Iunds, 2,679 institutional Iunds, and 2,865 mutual Iunds.
6

3.1. Databases
The databases used in our sample are Ior hedge IundsLipper TASS (Trading Advisor
Selection System), Center Ior International Securities and Derivatives Markets (CISDM),
Barclays Hedge Fund Data, Global Fund Analysis (Ior returns and Iund descriptions), Mobius

5
Lehman stopped reporting on mutual Iunds in 1996 and started reporting hedge Iunds in 1997. Nomura
stopped reporting mutual Iund returns in 2001 and reported its Iirst hedge Iund in 2005. We treat Mercury asset
management as an investment bank aIter its acquisition by Merrill Lynch in 1998.
6
Sixty-three oI the organizations had all three types oI portIolios simultaneously Ior three or more years. Our
sample size never consists oI all these Iunds in any given year.
!$
Hedge Fund Panel Data; mutual IundsCenter Ior Research in Security Prices (CRSP) mutual
Iund database, Morningstar website (www.morningstar.com), Morningstar CDs oI various
months; and institutional Iunds58 quarterly surveys Irom June 1993 to December 2007 Irom
the Mobius Group, which reports returns and numerous other characteristics oI institutional
managers.
7
Until 2007, Mobius was one oI the primary vendors oI money management data that
were used by most large pension Iund sponsors and endowment Iunds to determine who would
manage their money. We cross-check the returns oI the lowest return decile oI managers with
another commercially available database (InIorma PSN) and a private source oI return data.
8
For
2008, we add data Irom InIorma PSN, which acquired Mobius in 2006 and ended the product in
2007. We examine the returns and longevity oI every money manager in these data who had Iull
discretion over their accounts. To obtain addresses and legal company relations, we use
Securities and Exchange Commission (SEC) Edgar Filings, Thompson Fund Database, websites
oI investment conglomerates, LexisNexis, Dow Jones, and general Internet searches.
All the databases include dead Iunds. However, the hedge Iund databases drop Iunds
Irom release to release. For CISDM we have annual releases Ior 2005, 2007, 2008 and 2009. For
all Iunds in CISDM (not just those in our sample) CISDM dropped 1.23 oI Iunds by 2009 Irom
one oI the previous releases that we have. For Lipper TASS, we have September 2005, February
2008, March 2009, and July 2009. Lipper TASS dropped 3.04 oI its Iunds by July 2009 Irom
one oI the previous releases that we have. We hand-match the hedge Iund data Irom all releases
oI both Lipper TASS and CISDM to get a complete hedge Iund record Ior all 71 investment
organizations. We have all releases oI the institutional data Irom 1993 to 2008. We construct a

7
Funds that were in Mobius Hedge Fund and also in either TASS or CISDM reported identical returns.
8
Ten managers were in Mobius and hired by the Virginia Retirement System (VRS). We had access to the
internal records oI the VRS Irom 1993 to 1996. The data are identical to those in Mobius.
!%
survivorship bias-Iree dataset oI institutional returns. We use the 2009 CRSP survivorship bias-
Iree mutual Iund database (reporting returns through January 2009) Ior all our mutual Iund data.
For security issuance data we use Securities Data Company (SDC) and Ior lending data we use
Dealscan.
3.2 Matching funds with investment organizations
No common identiIiers appear across our databases. We hand-match the investment
organizations across mutual Iund and hedge Iund databases by name. While the CISDM database
has a Iamily name identiIier, the TASS database does not. ThereIore, we extract the Iamily name
Irom the title oI the hedge Iund. For the Iunds that did not have the Iamily name in the title, we
use Barclays Hedge Fund Data, Global Fund Analysis database, LexisNexis, SEC Iilings, hedge
Iund web addresses, and general Internet queries.
We then check the address match between hedge Iunds and mutual Iunds. Several
companies do not have a precise name match as their Iund conglomerate mutual Iunds and hedge
Iunds were oIIered by diIIerent subsidiaries. We require that the CRSP Iamily names should be
on record Ior at least two years with reported returns in one oI those years. We then proceed with
a mechanical match. Within the mechanical match, we use the Iirst 12 letters Irom the CRSP
Iamily name to search the list oI hedge Iund names. We then match the investment organizations
to institutional Iunds using our institutional Iund database. The institutional database has a
unique Iamily name identiIier and Iollows name changes Ior Iamilies. It also lists Iamily legal
addresses.
3.3 Fund-level filters and joining of assets classes
Next, we apply the Iollowing Iilters to the initial data set. We consider mutual and hedge
Iunds that reported at least 12 monthly returns and institutional Iunds that reported at least eight
!&
quarterly returns. This eliminates 23 hedge Iunds, 220 institutional Iunds, and 77 mutual Iunds
but no conglomerates Irom our sample. For institutional Iunds, we take Iunds that reported net
assets at least once, eliminating a Iew newly created Iunds. For hedge Iunds, we eliminate Iunds
that never reported asset values iI other hedge Iunds in the same complex reported asset values.
Mutual Iunds with no assets are excluded because they most oIten are an additional share class to
a Iund that already reports share class assets. We eliminate Iunds that did not report Iees. We
also do not include money market or municipal bond Iunds in our sample (CRSP codes MF, MG,
MQ, MS, MT, and MY). These Iunds are mostly tax-exempt and passively managed, and we
have no similar Iunds in the hedge Iund or institutional Iund sector. This eliminates 530 Iunds
(about 1 oI institutional portIolios are municipal portIolios and are excluded Irom Iurther
analysis).
We combine assets oI mutual and hedge Iunds with multiple asset classes or return
reports in multiple currencies. In combining the asset classes, we use the Iollowing rules. We
keep the longest return series. II two return series were oI similar length, we took class A or
institutional shares to avoid the impact oI a load return. II a particular asset class has assets that
are signiIicantly higher than all other return series, we keep the returns Irom the series with the
highest assets. For mutual Iunds, we join regular and institutional share class assets. II an
institutional Iund is the only asset class available and a Iund with a similar name is reported by
the institutional database as a separate account, we exclude this Iund Irom the sample.
Conversely, iI an institutional database reports an institutional mutual Iund, we exclude it Irom
the institutional sample. This way the mutual Iund industry contains both retail and institutional
accounts. Sometimes the institutional database oIIers both equally and asset weighted returns.
We choose equally weighted returns when available. II two asset classes report time series oI the
!'
same length, but just one has turnover indicated, we took the latter. We choose common over
investor, and I over N asset classes. II a Iund asset class with no load is oIIered we include it in
the sample. Similarly, we preIer to keep US dollar denominated to other currency denominated
hedge Iund returns. II assets oI multiple currency Iunds are equal across Iunds, we do not add the
assets. We believe that in this case the total assets are already redundantly reported in all
diIIerent share classes. We also preIer onshore to oIIshore Iunds. Again, we retain the longest
return time series. We assume that the main diIIerence between the onshore and oIIshore returns
is the tax impact, which is not the subject oI our study. We keep Iunds Irom three industries that
report returns Ior at least a year.
3.4. Equity identifier
Next, we identiIy equity mutual, hedge, and institutional Iunds. For equity mutual Iunds
we modiIy the selection method used in Cici, Gibson, and Moussawi (2010). We mark Iunds that
have an equity position between 50 and 105 but belong to categories that are identiIied as
equity.
9
For the Iunds that do not report equity position, we mark them as equity Iunds iI they
belong to the Iollowing equity classes with ICDI objective code in CRSP: aggressive growth
(AG), growth and income (GI), global equity Iunds (GE), international equity Iunds (IE), long-
term growth Iunds (LG), total return Iunds (TR), and sector Iunds (SF)
10
. Funds with missing
entries are manually identiIied by examining the Iund name. Among mutual Iunds, 1,093 are
equity Iunds in our sample. We also exclude index Iunds Irom our sample as they represent a
passive investment strategy. Because variables identiIying index Iunds are available Irom 2003
only, we searched Ior 'index and '500 in names. In the institutional database, we deIine

9
In identiIying Iunds` equity percentage, or class membership, we take the last reported variable.
10
Some sector Iunds include real estate Iunds.
!(
international equity or domestic equity portIolios as equity. For hedge Iunds, we examine the
styles reported in CISDM, Lipper TASS, or Mobius Hedge Fund Databases. II the styles suggest
the use oI equity, we deIine the Iund as an equity Iund. For example, CISDM equity Iunds have
the Iollowing styles: sector, relative value multi-strategy, merger arbitrage, equity market neutral,
and equity long or short. In Mobius the strategies are equity long or short, small or microcap,
health care sector, and market-neutral equity. We eliminate the Iund oI Iund class oI hedge Iunds
to avoid double counting. Over the entire database, 52.6 oI Iunds are equity Iunds and 48 oI
hedge Iunds are equity Iunds, 66 oI institutional Iunds are equity Iunds, and 52 oI mutual
Iunds are equity Iunds (see Tables 1 and 2 Ior the year-by-year statistics).
|Insert Tables 1 & 2 near here|
3.5. Dealing with biases in the data
Several studies have argued that hedge Iund returns exhibit substantial serial correlation,
in which the main source oI the correlation is the presence oI illiquid assets in a portIolio.
Manager perIormance measurement could be biased iI one does not account Ior serial correlation.
Jagannathan, Malakhov, and Novikov (2010) show that the occurrence oI positive alphas
decreases in a sample aIter accounting Ior serial correlation. Lo (2002) shows that Sharpe ratios
Ior auto correlated returns could also be biased upward. Several methods have been suggested
Ior dealing with serial correlation. Getmansky, Lo, and Makarov (2004) use an MA(2) process to
correct Ior the smoothing bias. Jagannathan, Malakhov, and Novikov (2010) suggests that serial
correlation is especially severe Ior hedge Iunds in speciIic sectors. We Iollow Getmansky, Lo,
and Makarov (2004) and unsmooth all hedge Iund returns with an MA(2) process using the
model
0 1 1 2 2
,
i i i i i i i
t t t t
X u q u q u q

= + + (1)
!)
where
i
t
q is unsmoothed, or true return i, at time t, and
i
i
t
i
t
R X = is the demeaned return. We
assume that ) , ( ~
2
i
i
t
o N o q . Eq. (1) is a moving average process with lag 2. To identiIy this
system, we impose the invariability constraint 1
2 1 0
= + + u u u . The economic meaning oI this
constraint is that the smoothing occurs over the most recent two periods.
II
i
t
R Iollows an MA(2) process, we can estimate
i
t
q Irom Eq. (1) using maximum
likelihood estimation. Getmansky, Lo, and Makarov show that the concentrated likelihood
Iunction Ior Eq. (1) is
1 2 1
0 1 1
1 1
`
( ) log| ( ) / | log ,
T T
t
t t t
t t
L T X X r T r u


= =
= +

(2)
To ensure invariability, we divide the estimated MA Iactors by
2 1
1 u u + + . This Iollows
Irom a well-known statistical property oI the MA process, in which any noninvertible process
can be transIormed into an invertible process by adjusting the parameters and variance.
We estimate an MA(2) process Ior all Iund returns (hedge Iund, mutual Iund, and
institutional Iunds) that had at least 30 observations, unsmoothing those Iunds that exhibit at
least a positive and signiIicant Iirst order autocorrelation. We Iind 180 out oI 902 hedge Iunds
yield signiIicant positive
1
u and 20 yield signiIicant positive
1
u and
2
u . We unsmooth returns
Ior the 180 hedge Iunds by Iirst unsmoothing the demeaned return and then adding back the
mean. The average MA(2) parameters Ior the 180 hedge Iunds are as Iollows:
0
u is 0.744,
1
u is
0.246, and
2
u is 0.01. Average
1
o is 0.093 and
2
o is 0.094. This means that just 74.4 oI returns
Irom a current month are directly reIlected in the reported return Ior these 180 Iunds. All other
hedge Iund studies report a larger percentage oI Iunds that need to be unsmoothed. Only a Iew
"*
mutual Iunds and institutional Iunds have signiIicant MA(2) parameters and we chose not to
unsmooth these Iunds Iollowing the practice in the mutual Iund literature.
Bollen and Krepely-Pool (2009) Iind a signiIicant discontinuity in the pooled distribution
oI reported hedge Iund returns when the number oI small gains Iar exceeds the number oI small
losses. They Iind that the discontinuity is present in live Iunds, deIunct Iunds, and Iunds oI all
ages, suggesting that it is not caused by database biases. The discontinuity is absent in the three
months culminating in an audit, Iunds that invest in liquid assets, and hedge Iund risk Iactors.
This suggests that it is generated by return manipulation rather than by the skill oI managers to
avoid losses or by nonlinearities in hedge Iund asset returns. We check our hedge Iunds Ior this
discontinuity and did not Iind any evidence oI discontinuity.
11

Our Iinding that Iewer oI our hedge Iunds have signiIicant MA(2) coeIIicients and that
the discontinuity bias is not in our sample suggests that Iinancial conglomerates and investment
banks have reporting standards that are stricter than nonconglomerates. It suggests that the well-
documented reporting problems oI hedge Iunds are mitigated when a large Iinancial organization
owns them. It clearly supports our research design oI comparing only investment banks with
other nonbank conglomerates.
3.6. Backfill bias
Funds Irequently bring all their history with them when joining the sample and can
choose how much and what, iI any, history to bring. This could bias conclusions about a
manager`s superior perIormance in previous years. Ackerman, McEnally, and RavenscraIt
(1999), Liang (2000), and Fung and Hsieh (2001) have Iound evidence oI backIill bias. Several
databases identiIy the date that Iunds enter the sample. In this case, the backIilled returns are

11
We thank Veronika Krepely-Pool Ior examining our data Ior the discontinuity bias.
"!
deleted Irom the sample. Jagannathan, Malakhov, and Novikov (2010) estimate the length oI
backIill bias in the HFR Database at between 12 months to 25 months. The diIIerence in return
between 12 months and 25 months oI truncation is insigniIicant Ior our sample oI hedge Iunds.
Following Jagannathan, Malakhov, and Novikov (2010) we chose to truncate all hedge Iund and
institutional Iund return series by 12 returns.
12

3.7. Descriptive statistics
Table 1 shows the assets under management, the number oI portIolios, and the size oI the
median portIolio, by year and by type oI organizational Iorm (industry). The Iinancial
conglomerates and investment banks clearly have very large assets under management. At their
peak in 2007, they were managing almost $8 trillion with $5.9 trillion in equity portIolios. They
are clearly the dominant Iorce in mutual Iunds and institutional Iunds. In hedge Iunds, they do
not manage nearly as much as nonconglomerates. The hedge Iund industry had almost $1 trillion
under management in 2007, but conglomerates had only about 8 oI the assets. The hedge Iund
industry has the reputation oI being independent oI large institutions, and these numbers support
this reputation.
|Insert Table 1 near here|

12
We tested Ior outliers in hedge Iund returns by looking up returns that diIIer Irom the mean by more than 8
standard deviations. We Iound Iour suspects. For example, GAM Money Markets Fund (BP) reported a return oI
904.48 on January 31, 1993 and the net asset value increased tenIold in that month, while GAM Money Markets
Fund (DM) reported a return oI -94.11 on December 31, 1996, its assets decreased tenIold in that month. The other
two outliers were around negative 30 return and were related to the 1987 market crash. As a result, the identiIied
occurrences were not marked as data errors.

""
Table 2 shows the same variables as Table 1 but Ior only equity portIolios. The same
general conclusions are shown in this table. Hedge Iund portIolios are a Iraction oI the
institutional and mutual Iund portIolios.
|Insert Table 2 near here|
Table 3, Panel A shows descriptive statistics oI the Sharpe ratios Ior all 621 hedge Iunds,
2,679 institutional Iunds, and 2,865 mutual Iunds. The average Sharpe ratio over this sample
depends on the contract Iorm. Hedge Iunds and institutional Iunds have positive Sharpe ratios,
and mutual Iunds have negative average Sharpe ratios. The hedge Iunds are the most volatile
cross-sectionally while the mutual Iunds are the least volatile. Panel B shows the same statistics
Ior the Iunds owned by investment banks. The statistics are very similar, with the means being
slightly higher. These tables show the same results Ior hedge Iunds and mutual Iunds as
Ackerman, McEnally, and RavenscraIt (1999), who conclude that hedge Iunds dominate mutual
Iunds. We believe their data do not control Ior omitted variables and the possibility that Sharpe
ratios can be manipulated by hedge Iunds.
13
Consequently, we Iollow the lead oI recent
researchers who have Iocused on alphas Irom return generating models.
|Insert Table 3 near here|
4. Methodology
There are two parts oI the methodology. First, measuring the time-varying risk-adjusted
return oI portIolios consisting oI many asset classes. Second, using control variables to measure
the diIIerences in alphas across investment bank or Iinancial conglomerates, including

13
See Goetzmann, Ingersoll, Spiegel, and Welch (2007). However, the Iindings that the Bollen and Krepely-
Pool (2009) show suggest that the manipulation is less when Iunds are owned by large organizations.
"#
diIIerences in portIolio type. Section 4.1 discussed the details oI our risk-adjustment and Section
4.2 describes the control variables.
4.1. Risk adjusted return
To compare the risk and return relation across industries, we use a multiIactor model and
check it Ior robustness. Following Fung and Hsieh (2001), we use seven Iactors: excess return on
the value weighted market (R
m
- R
I
), size (SMB), value (HML), the Carhart (1997) momentum
Iactor (PR1YR), Lehman High Yield Bond Index (MLHYB), Salomon World Government Bond
Index (MLGG), and the Standard and Poor`s Commodity Index (SPGSCI).
14
We estimate one,
Iour, six, and seven-Iactor versions oI the model. For portIolio p, the Iour models are as Iollows.
The one Iactor model is
R
pt
R
It

p

p1
(R
mt
-R
It
)
pt
. (3)
The Iour Iactor model is
R
pt
R
It

p

p1
(R
mt
-R
It
)
p2
SMB
t

p3
HML
t

p4
PR1YR
t

pt
. (4)
The six Iactor model is
R
pt
R
It

p

p1
(R
mt
-R
It
)
p2
SMB
t

p3
HML
t

p4
PR1YR
t

p5
(MLHYB-R
It
)

p6
(MLGG-R
It
)
pt
. (5)
The seven Iactor model is
R
pt
R
It

p

p1
(R
mt
-R
It
)
p2
SMB
t

p3
HML
t

p4
PR1YR
t

p5
(MLHYB-R
It
)

p6
(MLGG-R
It
)
p7
(SPGSCI-R
It
)
pt
. (6)

14
The market Iactor is the CRSP value-weighted return on all NYSE, AMEX, and NASDAQ stocks. The risk
Iree rate is the one-month Treasury bill rate Irom Ibbotson Associates. The SMB, HML, PR1YR are Irom Fama and
French data library. The Lehman High Yield Index is proxied by 'Merrill Lynch high yield bond C index, and
Salomon World Government Bond Index is proxied by 'Merrill Lynch Global Governments index, while
commodity Iactor is proxied by SPGS Commodity Index.
"$
To account Ior nonstationarity, we use a time-varying regression technique called Ilexible
least squares regression (FLS) developed by Kalaba and TesIatsion (1989, 1996) and Lutkepohl
and Herwartz (1996) that avoids these problems. In the terminology oI Lutkepohl and Herwartz
(1996), we use the 'standard Iorm oI the model, which assumes that the regression coeIIicient
vector, b
t
, evolves continuously over time in the linear model
t t t t
x y c | + ' = , where
t
x is the K
1 vector oI values oI the independent variable at time t and c
t
is the error term with E|c
t
| cov(c
t
,
c
t-j
) 0, and var(c
t
) o
2
. There are two sources oI error: measurement error is the (usual)
diIIerence between the dependent variable at time t, y
t
, and its predicted value deIined as
2
1
| |
t
T
t
t t
x y sse |

=
' = (7)
Dynamic error is the sum oI squared changes in the coeIIicient vector Irom time t to time
t + 1.
| | | |
1
1
1 t t t
T
t
t
ssd | | | | ' =
+
=
+
(8)
To estimate the model they minimize a weighted sum, sse (1 - )ssd, where the user
supplies the weight e (0, 1). Kalaba and TesIatsion prove that the collection oI all possible
weighted sums attainable at time N, sse, ssd ,|, N}, is contained by a lower envelope that is
bounded away Irom the origin. II time variation in betas exists, there is a combination oI the two
errors that will minimize the variation below the standard ordinary least squares solution.
Nevertheless, Lutkepohl and Herwartz (1996) demonstrate that the model Iinds variation in betas
when the true betas are constant because speciIying the second error term Iorces periodicity on to
constant betas. Thus, iI there are no a priori reasons to believe that coeIIicients vary, the
technique could reduce the explanatory power oI a regression model. However, no shortage oI
"%
studies shows that mutual Iund betas and alphas are time-varying.
15
Lutkepohl and Herwartz
(1996) demostrate that, iI the betas are periodic, the second error term captures it well, even iI
the periodicity is combined with a discontinuous shiIt.
We weight the two sources oI error unequally and set 0.95. Our purpose is to estimate
the time-varying regression coeIIicients over time in a manner that imposes the minimum
variation attributed to time-varying styles and betas. Our assumption is that styles and betas
change slowly over time.
16
For robustness, we reproduce all results with OLS.
Fig. 1 shows the time variation in Ilexible alphas over the 19 years in the sample. The
alphas are averaged cross-sectionally Ior each industry and weighted by assets under
management. For example, 178 hedge Iunds produced alphas in 2000. The Ilexible regression
model produces an alpha monthly Ior each Iund. We use the end oI year assets under
management Ior each Iund to value weight the alphas Ior all 178 hedge Iunds in 2000. The
graphs are constructed Irom these averages Ior hedge Iunds, mutual Iunds and institutional Iunds.
The average hedge Iund alpha is positive while the mutual Iund and institutional Iund averages
are negative. All are signiIicantly diIIerent Irom zero at the 5 level. Clearly the asset-weighted
hedge Iund alphas are much more volatile than the mutual Iund and institutional Iund alphas
which have lower standard deviations. BeIore 1996, the hedge Iund alphas are the highest. This
corresponds to a period early in the sample when the hedge Iund industry was rapidly expanding.
AIter 1996, the hedge Iund, mutual Iund, and institutional Iund alphas tend to move together.

15
For example, see Ferson and Khang (2002) Ior one oI many papers proposing a solution Ior time variation
that involves asymptotic distributions. We have many portIolios with relatively short time series and could not use
asymptotic techniques without a signiIicant loss oI observations in the cross-sectional results below.
16
Flexible regression is not a random coeIIicient model. Kalaba and TesIatsion (1989) argue that random
coeIIicients are explicitly excluded Irom the development oI the model. However, Lutkepohl (1993) shows that the
solution algorithm could be interpreted as the coeIIicient values that maximize the conditional density
g(|
1
,..|
T
,y
1
,.,y
T
) assuming that g(|
1
) is a constant.
"&
Based on this graph, it seems that the hedge Iund organizational Iorm gives higher abnormal
returns although the abnormal returns are more volatile. However, diIIerences exist in the Iunds
that are not captured by organizational Iorm. Consequently, we use control variables to adjust the
results.
|Insert Fig. 1 near here|
4.2. Measuring the effect of organizational form and ownership
To test the hypothesis that investment banks provide advantages to assets under
management, we run cross-sectional regressions explaining cross-sectional diIIerences in alpha.
We use a dummy variable Ior investment bank. As a proxy Ior the diIIerences in proIit margins
across portIolios, we use the dispersion oI Iees. As discussed in subsection 2.3, the empirical and
theoretical literature predicts a positive coeIIicient on this dummy variable.
Control variables are selected to control Ior diIIerences in the organizations that have nothing
to do with being an investment bank but potentially allow an organization to generate higher risk
adjusted returns. We think oI these diIIerences as diIIerences in the ability to pay Ior inIormation
and in portIolio management skills. A conglomerate with many assets under management may be
able to pay more Ior inIormation (or skills) than a conglomerate with Iewer assets under
management. Similarly, a large Iund could have an advantage over a small Iund or a Iund with
more experience may have advantages over Iunds with less experience. The literature has Iound
Iees, assets under management, and age, both at the Iund level and conglomerate level, as
statistically signiIicant Iactors in explaining perIormance. Our seven speciIic control variables
are as Iollows.
1. Dummy variables Ior Iund type: dHF denotes a hedge Iund; dMF a mutual Iund; and dIN
an institutional Iund. We also use a dummy variable iI the Iund is an equity Iund.
"'
2. Fee is computed as the Iee per dollar oI assets under management charged by the Iund in
year t. For institutional Iunds, Iees are estimated Irom the Iee schedule based on the
median account size. For mutual Iunds, we use expense ratios or management Iees iI
expense ratios are not available. For hedge Iunds, we use the management Iee.
3. Ln(Revenue) is the natural log oI MaxFee multiplied by assets under management Ior the
Iund. MaxFee is the same as the Fee Ior institutional and mutual Iunds, but Ior hedge
Iunds we add any perIormance Iees subject to approximated watermark adjustment.
17

4. Ln(Age) is the natural log oI the age oI the Iund.
5. Ln(Aum) is the natural log oI assets under management Ior the Iund
6. Ln(Aum Org) is the natural log oI all assets under management by the conglomerate
including all hedge Iund, mutual Iund, and institutional assets, Ior both passive and active
Iunds.
7. Industry Concentration is number oI portIolios by the Iund-type (institutional, hedge
Iunds, or mutual Iund) divided by number oI all portIolios under management in the Iirm.
5. Results
We present three sets oI results. In section 5.1 we discuss the results oI estimating the
baseline model which does not measure conIlicts oI interests or inIormation. In section 5.2 we
discuss the impact oI the conIlict oI interest and inIormation variables. In section 5.3 we discuss
the dollar costs oI investment banking ownership.

17
The mean (standard. deviation) oI Fee is 0.94 (0.57), MaxFee is 1.13 (1.31). There is no material diIIerence in
the results using one or the other.
"(
5.1 Baseline model
Table 4 shows the cross-sectional regression oI alphas on dummy variables Ior industry,
Iund type, the control variables, and whether the Iund is owned by an investment bank. The Iirst
line is the result oI a pooled cross-sectional regression with all 53,304 Iund-years in the
regression. The robust standard errors are clustered by conglomerate. CoeIIicients in bold are
signiIicant with p-values oI 5; bold and italics indicate a p-value oI 1.
|Insert Table 4 about here|
The coeIIicient Ior the investment banking dummy variable is a statistically signiIicant
negative -0.0385, which means that being owned by an investment bank reduces the alpha oI a
Iund by 3.85 basis points per month or about 46 basis points (0.0046) per year. This is in sharp
contrast with the Iinance literature. Fig. 2 shows how the coeIIicient changes over time. The
upper and lower lines are the 95 conIidence intervals. Estimating the coeIIicient on an annual
basis produces only three coeIIicients in which zero is not in the conIidence bound (1990, 1991,
and 1996) and 1993, 1994, and 2003 show positive insigniIicant coeIIicients.
18
But most are
negative. Using this graph and the actual assets under active management by investment banks,
we get a total economic loss oI $127.978 billion or about $6.7 billion per year. ThereIore, the
beneIits oI investment bank asset management outweighed conIlicts oI interest only Ior Iive
years oI our 19-year sample. Investment bank asset management added value Ior only short
periods. Consequently, our baseline investment banking hypothesis that being owned by an
investment bank adds value to portIolios under management over being owned by a nonbank
Iinancial conglomerate does not appear to hold in general. We conclude that being owned by an
investment bank statistically and economically reduces the return oI a portIolio.

18
The coeIIicient Ior the investment banking dummy variable in 1997 is negative and signiIicant at 10.
")
|Insert Fig. 2 about here|
Table 4 shows that, Ior the pooled data over 19 years, there is no advantage Ior any
portIolio type. The apparent advantage Ior hedge Iunds in Fig. 2 disappears when control
variables are added to the cross-sectional results. This conIirms the Berk and Green hypothesis
that the market is competitive enough to control agency costs among Iund type. Consequently,
we reject our two portIolio hypotheses: the management alignment hypothesis and the Ilexibility
hypothesis. In other words, returns are not higher, the greater the alignment between
management and clients or the Iewer the restrictions placed on the manager.
The bottom three lines oI Table 4 show the base results by conIining the regression to one
type oI portIolio. The investment banking dummy variable is signiIicant Ior only mutual Iunds,
suggesting that these portIolios are the source oI the economic rents. Moreover, the coeIIicient
on the control variable Fee is signiIicant only Ior mutual Iunds, suggesting that diIIerences in
Iees explain how the investment banks extract money Irom the portIolios. Massa and Rehman
(2008) Iind that mutual Iund holdings oI companies that receive loans Irom banks show a
positive gross return. Table 4 shows that this return does not Ilow to investors in mutual Iunds.
It is instructive that the control variables are signiIicant only Ior the hedge Iund and
mutual Iund subsample. This suggests that the 71 conglomerates and banks are optimized Ior
institutional clients. The diIIerences oI the control variables do not matter Ior institutional Iund
alphas. In Iact, the equation has no explanatory power at all. In contrast, diIIerent control
variables matter between hedge Iund and mutual Iunds. Revenue, age, and assets under
management, are statistically signiIicant Ior hedge Iund alphas. This suggests that inIormation
and risk control, which are size-related, are critical Ior hedge Iunds. In contrast, the Iee variable
#*
and equity dummy variable is statistically signiIicant Ior mutual Iunds, e.g., Iees, possibly
reIlecting distribution expenses, are important Ior mutual Iund alphas.
The baseline result in Table 4 is partially dependent on the measurement model Ior alphas.
We estimate alphas alternatively using Irom one to seven Iactors and with both Ilexible
regressions and OLS estimated both with all the available data Ior each portIolio and OLS
applied to a rolling 36 month sample Ior each portIolio (assuming that at least 36 months are
available). In results that are available upon request, the coeIIicient on investment banking
depends on whether the estimation oI alpha allows Ior time variation. The estimation method,
however, does not matter. Regardless oI whether we employ Ilexible least squares or rolling
windows oI 36 returns, we get similar results Ior a Iour- to seven-Iactor model with investment
banking coeIIicients between -0.0317 (rolling windows with Iour Iactors) to -0.0496 (FLS with
six Iactors).
5.2. Conflict of interest and information variables
Tables 4 and the robustness tests provide strong evidence that being owned by an
investment bank is economically and statistically signiIicant with the loss appearing to be borne
primarily by mutual Iunds. We Iurther examine two matters. First, the evidence so Iar shows the
signiIicance oI a dummy variable representing investment bank ownership. Because intercepts
are the residual claimant on problems with a regression equation, we could be capturing the
eIIect oI an omitted Iactor with the dummy variable that shiIts only the intercept. The r-squared
coeIIicients shown in Table 4 are statistically signiIicant but quite low. Second, the tables do not
show how the investment banks extract value Irom assets. As we discussed above, the Iinance
literature provides some guidance. First, Bolton, Freixas, and Shapiro (2007) predict that
conIlicts oI interest will be less Ior a multiproduct Iirm when proIit margins on the product lines
#!
are equal. While we cannot accurately measure the proIit margins on every product line Ior every
Iirm, we can compute the cross-sectional dispersion oI Iees under the assumption that the costs
are roughly the same across Iunds. This proxy variable allows us to compare investment banks
with nonbank Iirms. Given the theoretical results, we expect this variable to have a negative sign.
The greater the dispersion, the more scope Ior conIlicts oI interest.
Second, we have discussed the evidence that the loan and issuance activities oI
investment banks provide valuable inIormation in managing mutual Iunds Iound in Ritter and
Zhang (2007) and Massa and Rehman (2008). This suggests that variables measuring the lending
and underwriting business oI investment banks should reduce or eliminate the eIIect shown in
Table 4. From the Dealscan database, we collect the dollar amount oI the loans made in each
year Ior each bank along with the number oI loans the bank made and the number oI lead loans
the bank made. From the SDC database, we collect the issue Iees, proceeds, market share and
number oI issues Ior new and seasoned equity, and bond issues in each year Ior each investment
bank. The larger these variables, the larger the business activity oI the investment bank and,
presumably, the more inIormation the bank has available Ior portIolio managers. This suggests a
positive sign on these variables.
Table 5 shows the cross-sectional results, using robust standard errors clustered at the
conglomerate level, Irom adding the cross-sectional Iee dispersion and the percentage oI lead
loans variables to the base results oI Table 4. Both variables are signiIicant with the correct sign
Ior investment banks. As predicted, the coeIIicient on the lead-loan variable is signiIicant and
positive, which is consistent with the empirical Iinance literature. As predicted by the Bolton,
Freixas, and Shapiro theoretical model, the Iee dispersion variable is signiIicant only Ior
investment banks in both the pooled sample and the subsamples by portIolio type. The incentives
#"
Ior conIlicts oI interest increase when the investment banking Iirm has diIIerent proIit margins
across its products. The investment banking dummy variable is now insigniIicant, indicating that
the two variables suggested by the Iinance literature. Fee dispersion and lead loans entirely
capture the negative eIIect oI being owned by an investment bank. When the data are segmented
by type, the investment bank dichotomous variable is never signiIicant and Iee dispersion oI
investment banks is signiIicant Ior the institutional Iunds. This suggests that the pooled result is
driven by the diIIerences in Iund type.
|Insert Table 5 about here|
II either oI the variables is omitted, as in the Iirst Iour rows oI the table, the coeIIicient on
the investment banking dummy variable is signiIicant and negative. In these rows, when the data
are split by portIolio type, the investment banking coeIIicient is signiIicant only Ior the mutual
Iund subsample and only when Iee dispersion is omitted. This conIirms the Iinding oI Table 4
and suggests that the Iees on mutual Iunds oIIset the advantage Ior the clients oI portIolios Irom
the inIormation gained by lending. When Iee dispersion is included in the regression, the
investment banking dummy variable is not signiIicant, suggesting that the Iee dispersion
generating the conIlict oI interest occurs in the mutual Iund portIolios, rather than in the
institutional Iunds and hedge Iunds. However, the institutional subsample has a signiIicant Iee
dispersion coeIIicient, which suggests that conIlicts oI interests play a role in the pricing oI these
portIolios. It is clear Irom this table that Ior this variable to Iully capture diIIerences in alpha, the
Iull range oI products needs to be included in the regression.
In contrast, Table 5 again shows that these organizations are optimized more Ior
institutional clients than Ior clients in hedge Iunds and mutual Iunds because the control
variables are not signiIicant Ior the institutional Iund subsample. In Iact the only signiIicant
##
variables are Iee dispersion and lead loan lending. Surprisingly the eIIect oI any lead loan
activity is negative. Only the investment banks use the inIormation to help their portIolios.
Evidently, the nonbanks subtract value Irom their portIolios to lead loan syndicates. Moreover,
the nonbank lead loans primarily aIIect the institutional Iunds.
In unreported work available upon request, the underwriting variables oI proceeds and
Iees Irom issuing debt and equity Ior each investment bank are insigniIicant, suggesting that the
lending activities give investment banks an advantage in managing Iunds.
19
We also construct
portIolios by averaging the Iund alphas Ior a conglomerate or investment banks and by portIolio
type. Our results are similar to Table 5 Ior the eIIect oI investment banks.
20

Table 6 shows the estimation oI the equation oI Table 5 with the investment banking
variables year by year Ior the pooled results and the economic loss or beneIit Irom being owned
by an investment bank using the dummy variable, the conIlict oI interest variable (Iee dispersion)
and the inIormation variable (percent lead loans). The pattern oI the dummy variables and their
magnitude are similar to Fig. 2, which shows the variation over time. The economic losses or
beneIits correspondingly vary over time. For Iive years in the sample, being owned by an
investment bank is beneIicial (1993, 1994, 2001, 2002 and 2003). For 14 years being owned by
a bank is harmIul. Ignoring present value, the total loss is $93.43 billion, which is about $4.9

19
We use oI number oI lead loans versus the dollar amount oI lead loans because the data limit our ability to
observe the dollars invested in a loan by the conglomerate. We observe only the total loan size, in which a
conglomerate is oIten one oI many lenders. A conglomerate will likely have a policy in which it participates in a
loan to X percent dollars |Ivashina and ScarIstein (2010) suggest on average X 30 but that it is volatile|. We
think the number oI lead loans is a better proxy Ior investment banking involvement in loans than the dollar amount
since the dollar amount can be distorted by a Iew large loans. The number or percentage number is always
signiIicant; the log oI the dollar amount is not.
20
However, the equally weighted average hedge Iund outperIorms the average institutional Iund, which in turn
outperIorms the average mutual Iund. This does not reject the Berk and Green (2004) hypothesis. They argue that
assets will Ilow in response to better perIorming Iunds, and their theory is supported by the Iact that equally
weighted Iund alphas show a diIIerence while value weighted Iund alphas do not.
#$
billion per year. The inIormation variable gives a smaller loss than calculated Irom Table 4, but
we conclude that it is economically and statistically signiIicant.
21

|Insert Table 6 about here|
6. Conclusions
This study compares the investment perIormance oI three types oI delegated portIolios
mutual Iunds, hedge Iunds, and institutional Iunds when they are owned by investment banks
versus being owned by nonbank Iinancial services groups (conglomerates). Our sample consists
oI all Iinancial groups, both investment banks and nonbanks, which managed a mutual Iund,
hedge Iund, and institutional Iund at the same time Ior at least one year during 19902008. We
have 23 investment banks and 48 noninvestment banks. We examine the impact oI investment
banks and investor contract Iorm on the alphas oI all portIolios that these Iinancial groups
operated during the time period. We compare investment banks only with other Iinancial groups
to control the eIIect oI omitted variables. Comparing investment bankoperated portIolios with
portIolios not in a Iinancial group is likely to increase the eIIect oI omitted variables.
Comprehensive investment organizations centralize the cash Ilows Irom Iees, allowing these
organizations to centralize trading and inIormation gathering, and to spread legal costs,
monitoring costs, and the costs oI client relations across portIolio type.
To examine the risk-return diIIerences, we estimate alphas on unsmoothed returns using the
moving average process developed by Getmansky, Lo, and Makarov (2004), accounting Ior
diIIerences in portIolio exposure to various risk Iactors by using a seven-Iactor model with time-

21
Using both the levels oI the variables and the slope dummy produces regressions in some years with very high condition
indexes. The condition index Ior the pooled equation in the Iourth row oI Table 5 is 36.7, but using only 2003 data the condition
index is 68.6 and remains above 40 in the years aIter. The condition index Ior the estimation oI the economic loss in table 6 never
is above 40. Furthermore, this equation gives us the lowest economic harm oI being owned by an investment bank.
#%
varying alphas. We test the hypothesis that investment banks produce diIIerent alphas relative to
nonbank conglomerates by examining the cross-sectional regression oI Iund alphas on control
variables and type oI organization.
We Iind that the Iorm oI the contract oIIered to investors is not a statistically signiIicant
control variable. It appears that competition equalizes the impact oI the three contract Iorms
across time. We reject the hypotheses that some contracts better align incentives, that investment
Ilexibility leads to better returns, and that those organizations with more money to spend on
manager skill and inIormation produce better returns. Our evidence is consistent with the Berk
and Green (2004) hypothesis that investment organizations return a single competitive return to
investors.
We Iind that the organizations are optimized Ior institutional Iunds and that control
variables are critically important to examine hedge Iunds and mutual Iunds. We Iind that
ownership matters. On average, investors experience a lower alpha by 46 basis points a year
when a Iund is operated by an investment bank versus being owned by a nonbank conglomerate,
regardless oI Iund type. Consistent with the Iinance literature, the investment banks that
participate more in lead loans add more value to their assets under management. Consistent with
recent theory those with more disperse Iees subtract more value. The eIIect oI investment bank
ownership is material amounting to at least a $4.9 billion loss per year over the 19-year sample,
but the dollar loss is time-varying. In 19931994 and 20012003, the average investment banks
added value to their Iunds. Investment banks subtract value during 19901992, 19952000, and
20042008. Finally, it appears that the mutual Iund portIolios experience much oI the economic
loss.
#&
Our study raises the question oI why investment banks are able to extract economic rents this
large over this many years. A partial answer to this question may be in the time variation oI the
rents. Perhaps Iive years oI adding value conditioned investors enough to hold oII the
competition Irom nonbank conglomerates in the 14 years the investment banks subtracted value.
The ability to do so suggests that bank competition in Iund management is an important area Ior
Iuture research.

#'
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#(
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#)
Table 1
Assets Ior all portIolios
This table presents the asset time series Ior the Iunds managed by 23 investment banks and 48 conglomerates. Assets under active
management at the end oI the year are reported in millions oI dollars. There are 621 unique hedge Iunds, 2,679 unique institutional Iunds, and
2,865 unique mutual Iunds.
Hedge Iunds Institutional Iunds Mutual Iunds
Year n Median Total n Median Total n Median Total Total
2008 240 105 63,375 1,368 745 4,298,597 1,630 206 1,395,156 5,757,128
2007 318 108 80,165 1,484 1,129 5,936,064 1,715 232 1,653,433 7,669,662
2006 316 83 66,223 1,607 986 5,686,343 1,790 204 1,436,643 7,189,209
2005 291 74 53,634 1,720 831 5,072,762 1,706 192 1,181,860 6,308,256
2004 278 65 45,310 1,781 708 4,472,861 1,661 172 977,769 5,495,941
2003 251 57 36,014 1,809 639 4,006,336 1,696 133 775,238 4,817,588
2002 219 54 30,197 1,795 521 3,365,344 1,730 115 759,703 4,155,243
2001 211 54 28,716 1,726 618 3,523,594 1,693 117 869,948 4,422,258
2000 178 51 26,680 1,600 603 3,173,526 1,623 112 993,443 4,193,648
1999 163 43 21,931 1,510 628 3,318,704 1,447 104 802,399 4,143,035
1998 148 43 20,294 1,436 576 3,049,936 1,233 86 666,012 3,736,242
1997 137 39 17,795 1,335 561 2,597,330 1,085 94 555,362 3,170,487
1996 124 34 12,533 1,227 533 2,130,769 941 82 425,958 2,569,260
1995 106 38 9,604 1,085 514 1,713,594 817 90 330,433 2,053,630
1994 83 42 8,947 956 453 1,300,139 739 86 280,847 1,589,933
1993 69 40 6,501 827 453 1,106,004 609 93 229,539 1,342,044
1992 57 31 4,371 562 333 624,466 499 87 173,939 802,777
1991 50 30 3,685 493 326 531,296 364 89 121,568 656,549
1990 46 31 3,477 415 296 407,649 305 95 100,122 511,247




$*
Table 2
Assets Ior equity portIolios
This table presents the asset time series Ior the equity Iunds managed by 23 investment banks and 48 conglomerates. Assets under active
management at the end oI the year are reported in millions oI dollars. There are 374 unique equity hedge Iunds, 1,840 unique equity institutional
Iunds, and 2,248 unique mutual Iunds.
Hedge Iunds Institutional Iunds Mutual Iunds
Year n Median Total n Median Total n Median Total Total
2008 159 106 37,436 983 590 2,100,701 1,321 215 1,156,042 3,294,179
2007 204 111 45,029 1,065 894 3,748,033 1,384 264 1,405,083 5,198,146
2006 192 84 35,323 1,158 844 3,638,304 1,441 218 1,228,226 4,901,854
2005 180 72 28,555 1,210 699 3,145,100 1,369 197 995,131 4,168,787
2004 176 65 23,383 1,252 611 2,773,984 1,329 172 806,799 3,604,166
2003 172 54 20,910 1,276 517 2,482,777 1,365 128 622,981 3,126,669
2002 149 53 18,208 1,261 399 1,776,371 1,395 110 633,663 2,428,242
2001 129 59 17,279 1,201 509 1,980,567 1,373 119 756,811 2,754,657
2000 104 54 17,336 1,102 565 2,035,529 1,301 119 891,111 2,943,976
1999 89 54 12,845 1,032 614 2,145,132 1,139 107 697,737 2,855,714
1998 77 51 10,437 959 529 1,836,119 943 97 564,090 2,410,646
1997 76 44 9,115 873 550 1,570,765 828 101 470,577 2,050,458
1996 67 43 7,532 788 531 1,286,135 698 102 357,670 1,651,337
1995 61 43 5,617 683 496 983,315 602 104 272,041 1,260,974
1994 47 54 4,720 597 424 744,405 552 93 227,545 976,669
1993 41 54 3,792 520 401 637,140 463 100 181,805 822,736
1992 35 51 2,881 359 265 353,926 378 87 135,241 492,047
1991 31 51 2,606 310 259 296,188 277 94 96,166 394,960
1990 28 52 2,462 257 249 211,735 235 99 81,505 295,703

$!
Table 3
Sharpe ratios oI actively managed Iunds
These summary statistics are Ior the Sharpe ratios Ior all active Iunds in the investment bank and conglomerate sample (Panel A) and the investment banks
(Panel B). We drop the Iirst 12 return observations Irom hedge Iunds older than 24 months to control Ior backIill bias. We use mutual Iunds and
institutional Iunds with at least 12 observations. Our institutional and mutual Iund samples are Iree Irom backIill bias. We considered monthly returns Irom
January 1990 to December 2008. The one month T-bill rate is Irom Ibbotson Associates. All returns are net oI Iees. The Sharpe ratio is calculated Ior each
portIolio Irom the complete return series that are not backIilled.
Hedge Iunds Institutional Iunds Mutual Iunds
Panel A: All investment banks and conglomerates 19902008
n 621 2,679 2,865
Mean 0.076 0.101 -0.010
Median 0.074 0.097 0.019
Minimum -1.000 -2.500 -1.800
Maximum 2.190 5.300 2.130
Standard Deviation. 0.300 0.245 0.189
Kurtosis 8.620 162.000 10.800
Skewness 1.590 7.550 -0.300
Panel B: Investment banks 19902008
n 219 1,182 1,456
Mean 0.109 0.106 -0.010
Median 0.085 0.094 0.009
Minimum -1.000 -0.720 -1.800
Maximum 2.190 5.240 2.130
Standard Deviation 0.359 0.258 0.201
Kurtosis 10.100 150.000 14.800
Skewness 2.020 8.340 -0.120







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