Mutual Fund Selection for Realistically Short Samples

TY - JOUR

T1 - Mutual Fund Selection for Realistically Short Samples

AU - Christiansen, Charlotte

AU - Grønborg, Niels Strange

AU - Nielsen, Ole Linnemann

PY - 2020/1

Y1 - 2020/1

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

SN - 0927-5398

VL - 55

SP - 218

EP - 240

JO - Journal of Empirical Finance

JF - Journal of Empirical Finance

IS - January

ER -