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Mutual fund selection for realistically short samples

Author

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  • Christiansen, Charlotte
  • Grønborg, Niels S.
  • Nielsen, Ole L.

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.

Suggested Citation

  • Christiansen, Charlotte & Grønborg, Niels S. & Nielsen, Ole L., 2020. "Mutual fund selection for realistically short samples," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 218-240.
    • Handle: RePEc:eee:empfin:v:55:y:2020:i:c:p:218-240
    DOI: 10.1016/j.jempfin.2019.12.001
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    More about this item

    Keywords

    Mutual funds; Fund selection; Simulation; Small sample properties;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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