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Mutual fund selection for realistically short samples

Christiansen, Charlotte LU ; Grønborg, Niels S. and Nielsen, Ole L. (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.

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author
; and
organization
publishing date
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
2020-12-29 02:02:16
@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},
  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},
}