Picking funds with confidence

• 成果类型: Article
• 署名作者: Gronborg, Niels S.; Lunde, Asger; Timmermann, Allan; Wermers, Russ
• 署名单位: Aarhus University; Danish Finance Institute; University of California System; University of California San Diego; Aarhus University; CREATES; University System of Maryland; University of Maryland College Park
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.07.003
• 发表日期: 2021
• 页码: 1-28
• 关键词: Fund confidence set; Equity mutual funds; Risk-adjusted performance

摘要

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. (C) 2020 Elsevier B.V. All rights reserved.