PT - JOURNAL ARTICLE AU - Feng Dong AU - John A. Doukas TI - Fund Management Skill and Noise Trading AID - 10.3905/jpm.2018.44.5.113 DP - 2018 Apr 30 TA - The Journal of Portfolio Management PG - 113--124 VI - 44 IP - 5 4099 - https://pm-research.com/content/44/5/113.short 4100 - https://pm-research.com/content/44/5/113.full AB - 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