Mutual fund selection for realistically short samples

Charlotte Christiansen, Niels S. Grønborg and Ole L. Nielsen

Journal of Empirical Finance, 2020, vol. 55, issue C, 218-240

Abstract: Performance of mutual fund selection methods is typically assessed using long samples (long time series). We investigate how well the methods perform in shorter samples. We carry out an extensive simulation study based on empirically motivated skill distributions. For both short and long samples, we present evidence of large differences in performance between popular fund selection methods. In an empirical analysis, we show that the differences documented by the simulations are empirically relevant.

Keywords: Mutual funds; Fund selection; Simulation; Small sample properties (search for similar items in EconPapers)
JEL-codes: G11 G12 G17 G20 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Mutual Fund Selection for Realistically Short Samples (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:55:y:2020:i:c:p:218-240

DOI: 10.1016/j.jempfin.2019.12.001

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