RT Journal Article SR Electronic T1 Fund Management Skill and Noise Trading JF The Journal of Portfolio Management FD Institutional Investor Journals SP 113 OP 124 DO 10.3905/jpm.2018.44.5.113 VO 44 IS 5 A1 Feng Dong A1 John A. Doukas YR 2018 UL https://pm-research.com/content/44/5/113.abstract 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