We document that persistent aggregate capital flows to hedge and mutual funds predict monthly factor returns with an out-of-sample R 2 reaching 6.6%. Transient flows display no such power despite being more predictable. We show—both empirically and theoretically—that persistent flows’ predictive power stems from active fund managers’ capital constraints. Consequently, managers invest persistent but not transient flows into factor trading strategies, leading to factor-return predictability and factor momentum yet greater price efficiency. Our key insight is that capital-constrained managers account for both current and anticipated future flows in the arbitrage sector, incorporating the dynamics of capital into their strategies. (JEL G12, G14, G17, G23)

中文翻译：

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快速和慢速套利：（持续）资本流动对因子回报的预测能力

我们记录了流向对冲基金和共同基金的持续总资本流量预测了月度因子回报率，样本外 R 2 达到 6.6%。瞬态流尽管更具可预测性，但不会显示此类功率。我们从实证和理论上表明，持续资金流动的预测能力源于主动型基金经理的资本限制。因此，管理人将持续而非短暂的资金流投资于因子交易策略，从而提高因子回报的可预测性和因子动量，同时提高价格效率。我们的主要见解是，资本受限的管理人考虑了套利行业当前和预期的未来流动，并将资本动态纳入其策略。（JEL G12， G14， G17， G23）