TY - JOUR T1 - Fund Management Skill and Noise Trading JF - The Journal of Portfolio Management SP - 113 LP - 124 DO - 10.3905/jpm.2018.44.5.113 VL - 44 IS - 5 AU - Feng Dong AU - John A. Doukas Y1 - 2018/04/30 UR - https://pm-research.com/content/44/5/113.abstract N2 - In this article, the authors show that institutional investors’ skill matters most during high sentiment periods when market signals are noisy. The results reveal that the fund managers with the highest (lowest) skill add (lose) $7.71 ($5.64) million of value during high sentiment periods, compared with a $3.74 million gain realized by the average manager during the entire sample period. When the market sentiment is low, highly skilled fund managers incur a value loss of only $0.18 million, much smaller than the $30.32 million loss realized by their less-skilled counterparts.TOPICS: Portfolio construction, risk management, downside-only measures ER -