Investing in mutual funds when returns are predictable

• 成果类型: Article
• 署名作者: Avramov, Doron; Wermers, Russ
• 署名单位: 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.2005.05.010
• 发表日期: 2006
• 页码: 339-377
• 关键词: equity mutual funds; asset allocation; time-varying managerial skills

摘要

This paper forms investment strategies in US domestic equity mutual funds, incorporating predictability in (i) manager skills, (ii) fund risk loadings, and (iii) benchmark returns. We find predictability in manager skills to be the dominant source of investment profitability-long-only strategies that incorporate such predictability outperform their Fama-French and momentum benchmarks by 2 to 4%/year by timing industries over the business cycle, and by an additional 3 to 6%/year by choosing funds that outperform their industry benchmarks. Our findings indicate that active management adds significant value, and that industries are important in locating outperforming mutual funds. (c) 2006 Elsevier B.V. All rights reserved.