Picking Funds with Confidence

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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.

OriginalsprogEngelsk
TidsskriftJournal of Financial Economics
Antal sider28
ISSN0304-405X
DOI
StatusE-pub ahead of print - 2020

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