Picking Funds with Confidence

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

In: Journal of Financial Economics, Vol. 139, No. 1, 01.2021, p. 1-28.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Harvard

Grønborg, NS, Lunde, A, Timmermann, A & Wermers, R 2021, 'Picking Funds with Confidence', Journal of Financial Economics, vol. 139, no. 1, pp. 1-28. https://doi.org/10.1016/j.jfineco.2020.07.003

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MLA

Vancouver

Author

Grønborg, Niels Strange ; Lunde, Asger ; Timmermann, Allan ; Wermers, Russ. / Picking Funds with Confidence. In: Journal of Financial Economics. 2021 ; Vol. 139, No. 1. pp. 1-28.

Bibtex

@article{e4c6c8ee05044493979ceb9127389740,
title = "Picking Funds with Confidence",
abstract = "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.",
keywords = "Equity mutual funds, Fund confidence set, Risk-adjusted performance",
author = "Gr{\o}nborg, {Niels Strange} and Asger Lunde and Allan Timmermann and Russ Wermers",
year = "2021",
month = jan,
doi = "10.1016/j.jfineco.2020.07.003",
language = "English",
volume = "139",
pages = "1--28",
journal = "Journal of Financial Economics",
issn = "0304-405X",
publisher = "Elsevier BV",
number = "1",

}

RIS

TY - JOUR

T1 - Picking Funds with Confidence

AU - Grønborg, Niels Strange

AU - Lunde, Asger

AU - Timmermann, Allan

AU - Wermers, Russ

PY - 2021/1

Y1 - 2021/1

N2 - 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.

AB - 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.

KW - Equity mutual funds

KW - Fund confidence set

KW - Risk-adjusted performance

UR - http://www.scopus.com/inward/record.url?scp=85088936046&partnerID=8YFLogxK

U2 - 10.1016/j.jfineco.2020.07.003

DO - 10.1016/j.jfineco.2020.07.003

M3 - Journal article

VL - 139

SP - 1

EP - 28

JO - Journal of Financial Economics

JF - Journal of Financial Economics

SN - 0304-405X

IS - 1

ER -