Picking funds with confidence

Niels S. Grønborg, Asger Lunde, Allan Timmermann and Russell Wermers ()

Journal of Financial Economics, 2021, vol. 139, issue 1, 1-28

Abstract: 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.

Keywords: Fund confidence set; Equity mutual funds; Risk-adjusted performance (search for similar items in EconPapers)
JEL-codes: G11 G17 G2 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Picking Funds with Confidence (2017)
Working Paper: Picking Funds with Confidence (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:139:y:2021:i:1:p:1-28

DOI: 10.1016/j.jfineco.2020.07.003

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