Mutual Fund Selection for Realistically Short Samples

Charlotte Christiansen, Niels S. Grønborg () and Ole L. Nielsen ()
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Niels S. Grønborg: Aarhus University and CREATES, Postal: Department of Economics and Business Economics, Fuglesangs Allé 4, 8210 Aarhus V, Denmark
Ole L. Nielsen: Aarhus University and CREATES, Postal: Department of Economics and Business Economics, Fuglesangs Allé 4, 8210 Aarhus V, Denmark

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: Performance of mutual fund selection methods is typically assessed using long samples (long time series). It is, however, very often of interest how well the methods perform in shorter samples. We carry out an extensive simulation study based on an empirically motivated skill distribution. 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)
Pages: 50
Date: 2018-12-13
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https://repec.econ.au.dk/repec/creates/rp/18/rp18_36.pdf (application/pdf)

Related works:
Journal Article: Mutual fund selection for realistically short samples (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2018-36

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