Mutual fund selection for realistically short samples
(2020) In Journal of Empirical Finance 55. p.218-240- Abstract
Performance of mutual fund selection methods is typically assessed using long samples (long time series). We investigate how well the methods perform in shorter samples. We carry out an extensive simulation study based on empirically motivated skill distributions. 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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/c0c14392-7e9a-473d-9850-2843b06401fc
- author
- Christiansen, Charlotte LU ; Grønborg, Niels S. and Nielsen, Ole L.
- organization
- publishing date
- 2020-01
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Fund selection, Mutual funds, Simulation, Small sample properties
- in
- Journal of Empirical Finance
- volume
- 55
- pages
- 23 pages
- publisher
- North-Holland
- external identifiers
-
- scopus:85076841409
- ISSN
- 0927-5398
- DOI
- 10.1016/j.jempfin.2019.12.001
- language
- English
- LU publication?
- yes
- id
- c0c14392-7e9a-473d-9850-2843b06401fc
- date added to LUP
- 2020-01-10 14:24:15
- date last changed
- 2022-04-18 19:54:33
@article{c0c14392-7e9a-473d-9850-2843b06401fc, abstract = {{<p>Performance of mutual fund selection methods is typically assessed using long samples (long time series). We investigate how well the methods perform in shorter samples. We carry out an extensive simulation study based on empirically motivated skill distributions. 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.</p>}}, author = {{Christiansen, Charlotte and Grønborg, Niels S. and Nielsen, Ole L.}}, issn = {{0927-5398}}, keywords = {{Fund selection; Mutual funds; Simulation; Small sample properties}}, language = {{eng}}, pages = {{218--240}}, publisher = {{North-Holland}}, series = {{Journal of Empirical Finance}}, title = {{Mutual fund selection for realistically short samples}}, url = {{http://dx.doi.org/10.1016/j.jempfin.2019.12.001}}, doi = {{10.1016/j.jempfin.2019.12.001}}, volume = {{55}}, year = {{2020}}, }