Downside Risk Timing by Mutual Funds

Andrei Simonov, Andriy Bodnaruk and Bekhan Chokaev

No 10639, CEPR Discussion Papers from Centre for Economic Policy Research

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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://cepr.org/publications/DP10639 (application/pdf)

Related works:
Journal Article: Downside Risk Timing by Mutual Funds (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cpr:ceprdp:10639

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP10639

Access Statistics for this paper

More papers in CEPR Discussion Papers from Centre for Economic Policy Research 33 Great Sutton Street, London EC1V 0DX, UK.
Bibliographic data for series maintained by CEPR ().