TY - JOUR T1 - Dynamic Liquidity and Mutual Fund Performance JF - The Journal of Investing SP - 77 LP - 88 DO - 10.3905/joi.2017.26.3.077 VL - 26 IS - 3 AU - Qiang Bu AU - Nelson Lacey Y1 - 2017/08/31 UR - https://pm-research.com/content/26/3/77.abstract N2 - This article introduces a new measure of liquidity for equity mutual funds. This measure, the dynamic liquidity score (DLS), is a combination of a fund’s money flow and its volatility around money flow. The authors show that a fund’s dynamic liquidity score is an improved indicator of fund liquidity and can be used as a signal of performance. For example, in a volatile market, a high DLS is associated with a higher fund return, whereas in a stable market, DLS is negatively associated with the fund return. Overall, the impact of dynamic liquidity on fund performance is short term and time varying.TOPICS: Mutual fund performance, equity portfolio management ER -