Downside Risk Timing by Mutual Funds

Andrei Simonov, Andriy Bodnaruk and Bekhan Chokaev

No 10639, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We study whether mutual funds systematically manage downside risk of their portfolios in ways that improve their performance. We find that actively managed mutual funds on average possess positive downside risk timing ability. Funds investing in large-cap and value stocks have stronger downside risk timing skills. Managers adjust funds? downside risk exposure in response to macroeconomic information. The economic value of downside risk timing is comparable to that of market timing.

Keywords: Downside risk; Mutual funds; Market timing (search for similar items in EconPapers)
JEL-codes: G10 G11 (search for similar items in EconPapers)
Date: 2015-05
New Economics Papers: this item is included in nep-fmk and nep-rmg
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Citations: View citations in EconPapers (3)

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Journal Article: Downside Risk Timing by Mutual Funds (2019)
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