Mutual fund performance and flows during the COVID-19 crisis
Open accessAbstract
We present a comprehensive analysis of the performance and flows of U.S. actively managed equity mutual funds during the 2020 COVID-19 crisis. We find that most active funds underperform passive benchmarks during the crisis, contradicting a popular hypothesis. Funds with high sustainability ratings perform well, as do funds with high star ratings. Fund outflows surpass precrisis trends, but not dramatically. Investors favor funds that apply exclusion criteria and funds with high sustainability ratings, especially environmental ones. Our finding that investors remain focused on sustainability during this major crisis suggests they view sustainability as a necessity rather than a luxury good. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Claims other papers make about this one
Each is checked against this paper’s own text: does it say what the citing paper says it does?
Investors appear to favor environmental funds even more during the crash.
“As Pastor and Vorsatz (2020) indicate, investors appear to favor environmental funds even more during the crash.”
From Mutual Fund Trading, Fund Flows, and ESG Portfolios (2026) · cites this paper as Pastor and Vorsatz (2020)
The Abstract reports that investors favored funds with high sustainability ratings during the COVID-19 crisis, especially on environmental measures. But the discussion around Figure 11 says the preference was stronger during the crisis by some metrics and stronger before it by others. The paper therefore supports continued environmental preference, not an unqualified increase during the crash. (LLM, conf=0.88)
Experimental — accuracy not yet measuredFund flows had decreased for most fund types since approximately the beginning of the third week of February 2020.
“Pastor and Vorsatz (2020) note that the S&P 500 index dropped 34% from February 19 to March 23, 2020, and observe that fund flows had decreased for most fund types since approximately the beginning of the third week of February.”
From Mutual Fund Trading, Fund Flows, and ESG Portfolios (2026) · cites this paper as Pastor and Vorsatz (2020)
Section 3 (Fund Flows; page unavailable) reports that active equity funds experienced outflows during the crisis beginning February 20, with particularly rapid outflows through March 23. It does not establish that flows decreased for most fund types: its analysis concerns active equity funds, and it notes that some groups received inflows. It also reports outflows before the crisis, so February 20 is not established as the start of the decline. (LLM, conf=0.84)
Experimental — accuracy not yet measuredThe COVID-19 crash led to large and unanticipated outflows from most mutual funds.
“It led to large and unanticipated outflows from most mutual funds (Pastor and Vorsatz (2020)).”
From Mutual Fund Trading, Fund Flows, and ESG Portfolios (2026) · cites this paper as Pastor and Vorsatz (2020)
Section 3, “Fund Flows” (page unavailable), reports $43 billion in outflows from active equity funds during the crisis, with a fairly rapid pace during the crash. But it says those outflows largely extended a long-term trend and were not dramatic relative to it. The paper does not establish that the outflows were unanticipated or that most mutual funds experienced them. (LLM, conf=0.88)
Experimental — accuracy not yet measuredLike conventional funds, low star-rated funds (with 3 or fewer stars) experience significant outflows on average.
“Like conventional funds, low star-rated funds (with 3 or fewer stars) experience significant outflows on average (Pastor and Vorsatz (2020)).”
From Mutual Fund Trading, Fund Flows, and ESG Portfolios (2026) · cites this paper as Pastor and Vorsatz (2020)
Section 3.2 reports significantly lower average cumulative net flows for three-star funds than for five-star funds, and for one-star funds than for three-star funds. It does not establish that funds with three or fewer stars, as a group, had statistically significant outflows on average; the reported significance concerns differences between star-rating groups. (LLM, conf=0.84)
Experimental — accuracy not yet measuredThe gap in flows between high and low ESG funds narrowed by half.
“This interpretation is also consistent with subperiod univariate analysis by Pastor and Vorsatz (2020), which indicates that the gap in flows between high and low ESG funds narrowed by half.”
From Sustainability Preferences Under Stress: Evidence from COVID-19 (2020) · cites this paper as Pastor and Vorsatz (2020)
In Section 3 (Table 4), the gap in average net flows between five-globe and one-globe funds falls from 6.55% precrisis to 2.93% during the crisis—approximately a halving. The paper also reports that the gap in aggregate flows increases slightly over those periods, so the unqualified claim applies only to average flows. (LLM, conf=0.88)
Experimental — accuracy not yet measured
The flow results support the view that sustainable investing is a necessity demanded in both good and bad times, not a luxury good.
“The finding that top globe funds do not lose more funds than the one-globe funds during the market crash or the pandemic - a major health and economic crisis- supports the claim that sustainable investing is a necessity that is in demand in both good and bad times, rather than a luxury good that people indulge in only during good times (see also Pástor & Vorsatz, 2020).”
From Sustainable mutual fund performance and flow in the recent years through the COVID-19 pandemic (2022) · cites this paper as Pástor & Vorsatz, 2020
The regressions cluster standard errors by Morningstar Institutional Category and include style and time fixed effects.
“In all our regressions, we use the Morningstar Institutional Category, which is its finest classification system, to cluster the standard errors, and the Morningstar Global Category, which is used by Morningstar to group the funds for sustainability ranking, for style fixed effect (see Pástor et al., 2015 and Pástor & Vorsatz, 2020). We also include time (year and month) fixed effect in all the re”
From Sustainable mutual fund performance and flow in the recent years through the COVID-19 pandemic (2022) · cites this paper as Pástor & Vorsatz, 2020
The finding that higher-globe funds experience less outflow during the crash is consistent with the flight-to-quality phenomenon reported in the literature.
“This is consistent with the ‘flight to quality’ phenomena reported in the literature (Coudert & Gex, 2008; Parida & Wang, 2018 and Pástor & Vorsatz, 2020).”
From Sustainable mutual fund performance and flow in the recent years through the COVID-19 pandemic (2022) · cites this paper as Pástor & Vorsatz, 2020
Pástor and Vorsatz (2020) find that active equity funds with high sustainability ratings performed well during the COVID-19 pandemic-induced market crisis.
“In another recent paper, Pástor and Vorsatz (2020) find that active equity funds with high sustainability ratings perform well during the COVID-19 pandemic-induced market crisis.”
From Sustainable mutual fund performance and flow in the recent years through the COVID-19 pandemic (2022) · cites this paper as Pástor and Vorsatz (2020)
The results are robust to defining the crisis period as February-April 2020.
“As a robustness check, we define the Crisis period as February–April 2020 (see Pástor & Vorsatz, 2020) and find similar results.”
From Sustainable mutual fund performance and flow in the recent years through the COVID-19 pandemic (2022) · cites this paper as Pástor & Vorsatz, 2020
The S&P 500 index dropped 34% from February 19 to March 23, 2020.
“Pastor and Vorsatz (2020) note that the S&P 500 index dropped 34% from February 19 to March 23, 2020, and observe that fund flows had decreased for most fund types since approximately the beginning of the third week of February.”
From Mutual Fund Trading, Fund Flows, and ESG Portfolios (2026) · cites this paper as Pastor and Vorsatz (2020)
These patterns have been shown elsewhere and are confirmed here for our sample of funds with available monthly holdings data.
“These patterns have been shown elsewhere (e.g., Pastor and Vorsatz (2020) for Globe rated funds) and are confirmed here for our sample of funds with available monthly holdings data.”
From Mutual Fund Trading, Fund Flows, and ESG Portfolios (2026) · cites this paper as Pastor and Vorsatz (2020)
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754 · see citing works
On Persistence in Mutual Fund Performance
Carhart, M. M. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb03808.x · Cited by 17,283 · see citing works
A five-factor asset pricing model
Fama, E. F., & French, K. R. (2015) · Journal of Financial Economics · doi:10.1016/j.jfineco.2014.10.010 · Cited by 7,852 · see citing works
THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964
Jensen, M. C. (1968) · The Journal of Finance · doi:10.1111/j.1540-6261.1968.tb00815.x · Cited by 4,332 · see citing works
LINS, K. V., SERVAES, H., & TAMAYO, A. (2017) · The Journal of Finance · doi:10.1111/jofi.12505 · Cited by 3,794 · see citing works
Another Puzzle: The Growth in Actively Managed Mutual Funds
Gruber, M. J. (1996) · The Journal of Finance · doi:10.1111/j.1540-6261.1996.tb02707.x · Cited by 2,113 · see citing works
Wermers, R. R. (2000) · The Journal of Finance · doi:10.1111/0022-1082.00263 · Cited by 1,770 · see citing works
Measuring Fund Strategy and Performance in Changing Economic Conditions
Ferson, W. E., & Schadt, R. (1996) · The Journal of Finance · doi:10.1111/j.1540-6261.1996.tb02690.x · Cited by 1,761 · see citing works
Returns from Investing in Equity Mutual Funds 1971 to 1991
MALKIEL, B. G. (1995) · The Journal of Finance · doi:10.1111/j.1540-6261.1995.tb04795.x · Cited by 1,745 · see citing works
Luck versus Skill in the Cross‐Section of Mutual Fund Returns
Fama, E. F., & French, K. R. (2010) · The Journal of Finance · doi:10.1111/j.1540-6261.2010.01598.x · Cited by 1,738 · see citing works
Do Investors Value Sustainability? A Natural Experiment Examining Ranking and Fund Flows
HARTZMARK, S. M., & SUSSMAN, A. B. (2019) · The Journal of Finance · doi:10.1111/jofi.12841 · Cited by 1,607 · see citing works
Asset Fire Sales (and Purchases) in Equity Markets
Coval, J. D., & Stafford, E. (2005) · Journal of Financial Economics · doi:10.1016/j.jfineco.2006.09.007 · Cited by 1,579 · see citing works
The Unprecedented Stock Market Reaction to COVID-19
Baker, S., Bloom, N., Davis, S. J., et al. (2020) · The Review of Asset Pricing Studies · doi:10.1093/rapstu/raaa008 · Cited by 1,537 · see citing works
Feverish Stock Price Reactions to COVID-19*
Ramelli, S., & Wagner, A. F. (2020) · The Review of Corporate Finance Studies · doi:10.1093/rcfs/cfaa012 · Cited by 1,341 · see citing works
Resiliency of Environmental and Social Stocks: An Analysis of the Exogenous COVID-19 Market Crash
Albuquerque, R., Koskinen, Y., Yang, S., & Zhang, C. (2020) · The Review of Corporate Finance Studies · doi:10.1093/rcfs/cfaa011 · Cited by 1,234 · see citing works
Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios
Elton, E. J., Gruber, M. J., Das, S. R., & Hlavka, M. (1993) · Review of Financial Studies · doi:10.1093/rfs/6.1.1 · Cited by 841 · see citing works
Investor flows and the assessed performance of open-end mutual funds
Edelen, R. M. (1999) · Journal of Financial Economics · doi:10.1016/s0304-405x(99)00028-8 · Cited by 715 · see citing works
Evans, R. B. (2010) · The Journal of Finance · doi:10.1111/j.1540-6261.2010.01579.x · Cited by 664 · see citing works
Socially responsible funds and market crises
Nofsinger, J., & Varma, A. (2014) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2013.12.016 · Cited by 648 · see citing works
Scale and skill in active management
Pástor, Ľ., Stambaugh, R. F., & Taylor, L. A. (2015) · Journal of Financial Economics · doi:10.1016/j.jfineco.2014.11.008 · Cited by 547 · see citing works
Self-citationTime‐Varying Fund Manager Skill
Kacperczyk, M. T., Nieuwerburgh, S. V., & Veldkamp, L. (2013) · The Journal of Finance · doi:10.1111/jofi.12084 · Cited by 540 · see citing works
A Rational Theory of Mutual Funds' Attention Allocation
Kacperczyk, M. T., Nieuwerburgh, S. V., & Veldkamp, L. (2016) · Econometrica · doi:10.3982/ecta11412 · Cited by 535 · see citing works
What Risk Factors Matter to Investors? Evidence from Mutual Fund Flows
Barber, B. M., Huang, X., & Terrance Odean, B. (2014) · Review of Financial Studies · doi:10.1093/rfs/hhw054 · Cited by 512 · see citing works
Coronavirus: Impact on Stock Prices and Growth Expectations
Gormsen, N. J., & Koijen, R. S. J. (2020) · The Review of Asset Pricing Studies · doi:10.1093/rapstu/raaa013 · Cited by 484 · see citing works
Mutual fund performance and seemingly unrelated assets
Pástor, Ľ., & Stambaugh, R. F. (2002) · Journal of Financial Economics · doi:10.1016/s0304-405x(02)00064-8 · Cited by 414 · see citing works
Self-citationElton, E. J., Gruber, M. J., & Blake, C. R. (2001) · The Journal of Finance · doi:10.1111/0022-1082.00410 · Cited by 406 · see citing works
Why mutual funds “underperform.”
Glode, V. (2011) · Journal of Financial Economics · doi:10.1016/j.jfineco.2010.10.008 · Cited by 338 · see citing works
Performance evaluation and self-designated benchmark indexes in the mutual fund industry
Sensoy, B. A. (2009) · Journal of Financial Economics · doi:10.1016/j.jfineco.2008.02.011 · Cited by 326 · see citing works
On the Size of the Active Management Industry
Pástor, L., & Stambaugh, R. F. (2012) · Journal of Political Economy · doi:10.1086/667987 · Cited by 236 · see citing works
Kosowski, R. L. (2006) · Quarterly Journal of Finance · doi:10.1142/s2010139211000146 · Cited by 230 · see citing works
Do Funds Make More When They Trade More?
Pástor, Ľ., Stambaugh, R. F., & Taylor, L. A. (2014) · The Journal of Finance · doi:10.1111/jofi.12509 · Cited by 228 · see citing works
Self-citationMoskowitz (2000) · doi:10.1111/0022-1082.00264 · Cited by 123 · see citing works
Economics, Environmental Policy, and the Quality of Life.
Markandya, A., Baumöl, W. J., & Oates, W. E. (1979) · The Economic Journal · doi:10.2307/2231545 · Cited by 66 · see citing works
Flagged first, then by citations
Research works printed but not linked: 2
- [15]15. Bretscher, L., A. Hsu, P. Simasek, and A. Tamoni. 2020. COVID-19 and the cross-section of equity returns: Impact and transmission. Review of Asset Pricing Studies 10:705-41.
- [53]53. ---. Forthcoming. Sustainable investing in equilibrium. Journal of Financial Economics.
Cited by
Sorted by citations
Corporate immunity to the COVID-19 pandemic
Ding, W., Levine, R., Lin, C., & Xie, W. (2021) · Journal of Financial Economics · doi:10.1016/j.jfineco.2021.03.005 · Cited by 1,484 · see citing works
A review on ESG investing: Investors' expectations, beliefs and perceptions
Kräussl, R., Oladiran, T., & Stefanova, D. (2024) · Journal of Economic Surveys · doi:10.1111/joes.12599 · Cited by 175 · see citing works
Sustainability Preferences Under Stress: Evidence from COVID-19
Döttling, R., & Kim, S. (2020) · SSRN Working Paper · doi:10.2139/ssrn.3656756 · Cited by 161 · see citing works
Sustainable mutual fund performance and flow in the recent years through the COVID-19 pandemic
Fang, F., & Parida, S. (2022) · International Review of Financial Analysis · doi:10.1016/j.irfa.2022.102387 · Cited by 51 · see citing works
“Pástor and Vorsatz (2020) use daily data and define the pandemic crisis period as the ten weeks between February 20 and April 30, 2020.”
BackgroundMethodResultInfluentialWhat attracts sustainable fund flows? Prospectus versus ratings
Birk, K., Jacob, S., & Wilkens, M. (2025) · Journal of Asset Management · doi:10.1057/s41260-024-00389-6 · Cited by 9 · see citing works
“This aligns with the findings of Pástor and Vorsatz (2020), who also do not report any changes in preference for sustainable funds over time.”
Mutual Fund Trading, Fund Flows, and ESG Portfolios
Albuquerque, R., Koskinen, Y., & Santioni, R. (2026) · Journal of Financial and Quantitative Analysis · doi:10.1017/s0022109025101841 · Cited by 3 · see citing works
- Authors
- Pástor, Ľ., & Vorsatz, M. B.
- Affiliations
- Center for Economic and Policy Research (US)
- University of Chicago (US)
- Corresponding author
- Vorsatz, M Blair
- ORCID
- Pástor, Ľuboš
- Venue
- The Review of Asset Pricing Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2020-09-11
- Volume
- 10
- Issue
- 4
- Pages
- 791-833
- ISSN
- 2045-9920 (ISSN-L)
- 2045-9939
- PMC
- PMC7543631
- OpenAlex
- W4285653522
- Cited by
- 319
- References
- 33
- Citations by year
- 2026: 28 · 2025: 62 · 2024: 65 · 2023: 53 · 2022: 60 · 2021: 29 · 2020: 21 · 2018: 1
- FWCI
- 42.38
- Type
- journal article
- Language
- en
- Open access
- bronze
- doi.org
- Licence
- academic.oup.com/journals/pages/open_access/funder_policies/chorus/standard_publication_model (vor)
- Locations
- The Review of Asset Pricing Studies (publishedVersion)
- PubMed Central (publishedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- Topics
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › COVID-19 Pandemic Impacts
- Social Sciences › Economics, Econometrics and Finance › Finance › Sustainable Finance and Green Bonds
- Keywords
- mutual fund performance, fund flows, COVID-19 pandemic, active vs passive investing, sustainability ratings, star ratings, investor behavior
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
