| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11896 |
| DP11896 Picking Funds with Confidence | |
| Henry Allan Timmermann; Asger Lunde; Russ Wermers | |
| 发表日期 | 2017-03-09 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | 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 |
| 主题 | Financial Economics |
| 关键词 | Fund confidence set Equity mutual funds Risk-adjusted performance |
| URL | https://cepr.org/publications/dp11896 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/540708 |
| 推荐引用方式 GB/T 7714 | Henry Allan Timmermann,Asger Lunde,Russ Wermers. DP11896 Picking Funds with Confidence. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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