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Final published version
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.
Original language | English |
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Journal | Journal of Financial Economics |
Volume | 139 |
Issue | 1 |
Pages (from-to) | 1-28 |
Number of pages | 28 |
ISSN | 0304-405X |
DOIs | |
Publication status | Published - Jan 2021 |
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ID: 173648446