Mutual Fund's R2 as Predictor of Performance

• 成果类型: Article
• 署名作者: Amihud, Yakov; Goyenko, Ruslan
• 署名单位: New York University; McGill University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhs182
• 发表日期: 2013
• 页码: 667
• 关键词: Heteroskedasticity; persistence; variables; returns; hedge

摘要

We propose that fund performance can be predicted by its R-2, obtained from a regression of its returns on a multifactor benchmark model. Lower R-2 indicates greater selectivity, and it significantly predicts better performance. Stock funds sorted into lowest-quintile lagged R-2 and highest-quintile lagged alpha produce significant annual alpha of 3.8%. Across funds, R-2 is positively associated with fund size and negatively associated with its expenses and manager's tenure.