Mutual Fund Selection for Realistically Short Samples

Charlotte Christiansen; Niels Strange Grønborg; Ole Linnemann Nielsen

doi:10.1016/j.jempfin.2019.12.001

Mutual Fund Selection for Realistically Short Samples

Charlotte Christiansen, Niels Strange Grønborg, Ole Linnemann Nielsen

Institut for Økonomi - CREATES

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avis › Tidsskriftartikel › Forskning › peer review

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Abstract

Performance of mutual fund selection methods is typically assessed using long samples (long time series). We investigate how well the methods perform in shorter samples. We carry out an extensive simulation study based on empirically motivated skill distributions. For both short and long samples, we present evidence of large differences in performance between popular fund selection methods. In an empirical analysis, we show that the differences documented by the simulations are empirically relevant.

Originalsprog	Engelsk
Tidsskrift	Journal of Empirical Finance
Vol/bind	55
Nummer	January
Sider (fra-til)	218-240
Antal sider	23
ISSN	0927-5398
DOI	https://doi.org/10.1016/j.jempfin.2019.12.001
Status	Udgivet - jan. 2020

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10.1016/j.jempfin.2019.12.001

Mutual_fund_selection_for_realistically_short_samples_JEF_2020_AM.pdfAccepteret manuskript, 806 KBLicens: CC BY-NC-ND

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AU - Grønborg, Niels Strange

AU - Nielsen, Ole Linnemann

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N2 - Performance of mutual fund selection methods is typically assessed using long samples (long time series). We investigate how well the methods perform in shorter samples. We carry out an extensive simulation study based on empirically motivated skill distributions. For both short and long samples, we present evidence of large differences in performance between popular fund selection methods. In an empirical analysis, we show that the differences documented by the simulations are empirically relevant.

AB - Performance of mutual fund selection methods is typically assessed using long samples (long time series). We investigate how well the methods perform in shorter samples. We carry out an extensive simulation study based on empirically motivated skill distributions. For both short and long samples, we present evidence of large differences in performance between popular fund selection methods. In an empirical analysis, we show that the differences documented by the simulations are empirically relevant.

KW - Fund selection

KW - Mutual funds

KW - Simulation

KW - Small sample properties

U2 - 10.1016/j.jempfin.2019.12.001

DO - 10.1016/j.jempfin.2019.12.001

M3 - Journal article

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SP - 218

EP - 240

JO - Journal of Empirical Finance

JF - Journal of Empirical Finance

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Mutual Fund Selection for Realistically Short Samples

Abstract

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