Postselection dynamics in AUM and returns

This figure compares the cumulative changes in AUMs and excess returns for up to 24 months after the selection date between selected funds and three unselected funds. The unselected funds were matched to the selected funds by calendar time, log(AUM), age, and the past rolling 24-month information ratio as of the selection date. The figure helps illustrate the underlying economic mechanism per model (10) that is presented in columns (4) and (5) of Table 6. The impact of returns is removed from the AUM growth rates, and therefore represents the flow of assets into the fund.