Mutual fund market timing

Brattle experts consulted to the Board of a national mutual fund complex under investigation by the SEC and the New York Attorney General’s Office regarding existence and effects of after-hours trading activity and short-term (so-called “market timing”) trades in all of the company’s retail mutual funds over a five-year period. We advised both the client and a testifying expert who presented the analysis to the SEC and Attorney General. We were involved in a detailed analysis of extensive trading data at the account level to identify and quantify purchases and redemptions by potential “market timers” and to calculate the corresponding dilution to buy-and-hold shareholders in the funds. The case settled after a presentation of this work.