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Picking Funds with Confidence
Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avis › Tidsskriftartikel › Forskning › peer review
DOI
- https://doi.org/10.1016/j.jfineco.2020.07.003
Forlagets udgivne version
- Niels Strange Grønborg
- Asger Lunde ,
- Allan Timmermann
- Russ Wermers, University of Maryland, College Park, USA
We present a new approach to selecting actively managed mutual funds that uses both portfolio holdings and fund return information to eliminate funds with predicted inferior performance through a sequence of pairwise fund comparisons. Our methodology determines both the number of skilled funds and their identities, and locates funds with substantially higher risk-adjusted returns than those identified by conventional alpha-ranking methods. We find strong evidence of time-series variation in both the number of funds identified as superior using our approach, as well as in their performance across different economic states.
| Originalsprog | Engelsk |
|---|---|
| Tidsskrift | Journal of Financial Economics |
| Vol/bind | 139 |
| Nummer | 1 |
| Sider (fra-til) | 1-28 |
| Antal sider | 28 |
| ISSN | 0304-405X |
| DOI | |
| Status | Udgivet - jan. 2021 |
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