Measuring the impact of short and lending practices using the DGTW benchmarks

Mutual fund managers increasingly lend their holdings and/or use short sales to generate higher returns for their funds. This project presents a first look into the impact these practices on performance using the performance measures: i) Characteristic Selectivity (CS), the ability of the fund's managers to choose stocks that outperform their benchmarks; ii) Characteristic Timing (CT), the ability of the manager to time the market; iii) and Average Style (AS), the returns from funds systematically holding stocks with certain characteristics. These returns are computed through the DGTW benchmarks. The effect of other variables that have also been shown to impact fund’s returns – total net assets under management, investment styles, turnover and expense ratios – will also be analyzed. I find that managers who use short-sales do not exhibit better stock picking abilities than those who do not, while mutual funds that lend do present higher CS returns. In addition, while lending is not significant for the total performance of a fund, the employment of short-sales and of both short-sales and lending has a negative impact on the fund’s performance.

Application for Loan, Mortgage Loan Envelope, and Abstract of Title

Atkins, Sarah A. and Carlisle A. Gardner includes: Application for Loan, July 26, 1884; Mortgage Loan Envelope no. 255 for July 1, 1884 – July 1, 1889 and Abstract of Title, August 28, 1884.

Cogswell, Maria, includes: Application for loan on Real Estate, Insurance Policy, Mortgage Loan Envelope

Cogswell, Maria, includes: Application for loan on Real Estate, Feb. 20, 1882; Insurance Policy no. 2199780 from the Royal Insurance Company of Liverpool, March 17, 1887 and Mortgage Loan Envelope for mortgage no. 1535 from March 1, 1882 – March 1, 1887.

Crew, Isaac M., includes: Application for Loan, Mortgage Loan Envelope, and Abstract of Title

Crew, Isaac M., includes: Application for Loan, March 10, 1885; Mortgage Loan Envelope no. 679 for Jan. 1, 1885 – Jan. 1, 1890 and Abstract of Title, April 13, 1885.

Crick, Henry A., includes Application for Loan, and Mortgage Loan Envelope

Crick, Henry A., includes Application for Loan, Jan. 8, 1885 and Mortgage Loan Envelope no. 637 for Jan. 1, 1885 – Jan. 1, 1890.

Mank, Isaac, Mortgage Loan Envelope no. 640

Mank, Isaac, Mortgage Loan Envelope no. 640 for Jan. 1, 1885 – Jan. 1, 1890

Schmidt, John, includes: Application for Loan, and Mortgage Loan Envelope, and Abstract of Title

Schmidt, John, includes: Application for Loan, Aug. 8, 1884 and Mortgage Loan Envelope no. 302 for July 1, 1884 – July 1, 1889 and Abstract of Title, Sept. 6, 1884.

Form letter: a printed, 2 1/2 page copy of Jarvis Conklin and Co. Mortgage, Loans and Municipal Bonds letter to S.D. Woodruff, signed by James Conklin

Form letter: a printed, 2 1/2 page copy of Jarvis Conklin and Co. Mortgage, Loans and Municipal Bonds letter to S.D. Woodruff, signed by James Conklin, n.d.

Letter to Samuel Woodruff explaining the mortgage system in Kansas

Letter (2 pages, handwritten) to Samuel Woodruff explaining the mortgage system in Kansas. It is signed Jarvis, Conklin and Co., March 31, 1882.

Letter which was enclosed with the application, bond mortgage and abstract of the Jones and Mater accounts to Samuel Woodruff from Jarvis, Conklin and Co.

Letter which was enclosed with the application, bond mortgage and abstract of the Jones and Mater accounts to Samuel Woodruff from Jarvis, Conklin and Co., May 4, 1882.

Letter to S.D. Woodruff stating that Mr. Mater wishes to take up his mortgage signed Jarvis, Conklin and Co

Letter (1 page, typed) to S.D. Woodruff stating that Mr. Mater wishes to take up his mortgage. It is signed Jarvis, Conklin and Co., Aug. 18, 1884.

Postcard to S.D. Woodruff from Jarvis-Conklin Mortgage Trust Co.

Postcard to S.D. Woodruff acknowledging the receipt of the Dennis and Conklin papers from Jarvis-Conklin Mortgage Trust Co., Feb. 4, 1887.

Letter to S.D. Woodruff signed by Wm. Shelley, treasurer of the Jarvis-Conklin Mortgage Trust Company

Letter (1 page, typed) to S.D. Woodruff asking for the papers for the Crick loan. This is signed by Wm. Shelley, treasurer of the Jarvis-Conklin Mortgage Trust Company. The letter is torn, has holes in it and is somewhat crumpled and stained. This does not affect the text, June 7, 1887.

Letter to S.D. Woodruff from Wm. Shelley, treasurer of the Jarvis-Conklin Mortgage Trust Company

Letter (1 page, typed) to S.D. Woodruff from Wm. Shelley, treasurer of the Jarvis-Conklin Mortgage Trust Company requesting the papers for the Crew and Atkins loans. The letter is discoloured along the folds. This does not affect the text, Nov. 20, 1887.