EconPapers    
Economics at your fingertips  
 

Picking Funds with Confidence

Niels Groenborg, Asger Lunde, Allan G Timmermann and Russ Wermers

No 11896, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We present a new approach to selecting active mutual funds that uses both holdings and return information to eliminate funds with predicted inferior performance through a sequence of pair-wise comparisons. Our methodology determines both the number of skilled funds and their identity; funds identified ex-ante as being superior earn substantially higher risk-adjusted returns than top funds identified by conventional alpha ranking methods. Importantly, we find strong evidence of variation in the breadth of the set of funds identified as superior, as well as fluctuations in the style and industry exposures of such funds over time and across different volatility states

Keywords: equity mutual funds; Fund confidence set; risk-adjusted performance (search for similar items in EconPapers)
JEL-codes: G11 G17 G2 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk
Date: 2017-03
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.cepr.org/active/publications/discussion_papers/dp.php?dpno=11896 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
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:11896

Ordering information: This working paper can be ordered from
http://www.cepr.org/ ... rs/dp.php?dpno=11896

Access Statistics for this paper

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

 
Page updated 2019-01-12
Handle: RePEc:cpr:ceprdp:11896