Department of Economics and Business Economics

Picking Funds with Confidence

Research output: Working paperResearch

Standard

Picking Funds with Confidence. / Grønborg, Niels Strange; Lunde, Asger; Timmermann, Allan; Wermers, Russ.

Aarhus : Institut for Økonomi, Århus Universitet, 2017.

Research output: Working paperResearch

Harvard

Grønborg, NS, Lunde, A, Timmermann, A & Wermers, R 2017 'Picking Funds with Confidence' Institut for Økonomi, Århus Universitet, Aarhus.

APA

Grønborg, N. S., Lunde, A., Timmermann, A., & Wermers, R. (2017). Picking Funds with Confidence. Aarhus: Institut for Økonomi, Århus Universitet. CREATES Research Papers, No. 2017-13

CBE

Grønborg NS, Lunde A, Timmermann A, Wermers R. 2017. Picking Funds with Confidence. Aarhus: Institut for Økonomi, Århus Universitet.

MLA

Grønborg, Niels Strange et al. Picking Funds with Confidence. Aarhus: Institut for Økonomi, Århus Universitet. (CREATES Research Papers; Journal number 2017-13). 2017., 58 p.

Vancouver

Grønborg NS, Lunde A, Timmermann A, Wermers R. Picking Funds with Confidence. Aarhus: Institut for Økonomi, Århus Universitet. 2017 Mar 14.

Author

Grønborg, Niels Strange ; Lunde, Asger ; Timmermann, Allan ; Wermers, Russ. / Picking Funds with Confidence. Aarhus : Institut for Økonomi, Århus Universitet, 2017. (CREATES Research Papers; No. 2017-13).

Bibtex

@techreport{81b85f0bc60244b69fd261a5ef6e0448,
title = "Picking Funds with Confidence",
abstract = "We present a new approach to selecting active mutual funds that uses both holdings and return information to eliminate funds with predicted inferior performance through a sequence of pair-wise comparisons. Our methodology determines both the number of skilled funds and their identity, funds identified ex-ante as being superior earn substantially higher risk-adjusted returns than top funds identified by conventional alpha ranking methods. Importantly, we find strong evidence of variation in the breadth of the set of funds identified as superior, as well as fluctuations in the style and industry exposures of such funds over time and across different volatility states.",
keywords = "Fund confidence set, Equity mutual funds, Risk-adjusted performance",
author = "Gr{\o}nborg, {Niels Strange} and Asger Lunde and Allan Timmermann and Russ Wermers",
year = "2017",
month = "3",
day = "14",
language = "English",
publisher = "Institut for {\O}konomi, {\AA}rhus Universitet",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, {\AA}rhus Universitet",

}

RIS

TY - UNPB

T1 - Picking Funds with Confidence

AU - Grønborg, Niels Strange

AU - Lunde, Asger

AU - Timmermann, Allan

AU - Wermers, Russ

PY - 2017/3/14

Y1 - 2017/3/14

N2 - We present a new approach to selecting active mutual funds that uses both holdings and return information to eliminate funds with predicted inferior performance through a sequence of pair-wise comparisons. Our methodology determines both the number of skilled funds and their identity, funds identified ex-ante as being superior earn substantially higher risk-adjusted returns than top funds identified by conventional alpha ranking methods. Importantly, we find strong evidence of variation in the breadth of the set of funds identified as superior, as well as fluctuations in the style and industry exposures of such funds over time and across different volatility states.

AB - We present a new approach to selecting active mutual funds that uses both holdings and return information to eliminate funds with predicted inferior performance through a sequence of pair-wise comparisons. Our methodology determines both the number of skilled funds and their identity, funds identified ex-ante as being superior earn substantially higher risk-adjusted returns than top funds identified by conventional alpha ranking methods. Importantly, we find strong evidence of variation in the breadth of the set of funds identified as superior, as well as fluctuations in the style and industry exposures of such funds over time and across different volatility states.

KW - Fund confidence set, Equity mutual funds, Risk-adjusted performance

M3 - Working paper

BT - Picking Funds with Confidence

PB - Institut for Økonomi, Århus Universitet

CY - Aarhus

ER -