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Mutual Fund Selection for Realistically Short Samples

Author

Listed:
  • Charlotte Christiansen

    () (Aarhus University and CREATES)

  • Niels S. Grønborg

    () (Aarhus University and CREATES)

  • Ole L. Nielsen

    () (Aarhus University and CREATES)

Abstract

Performance of mutual fund selection methods is typically assessed using long samples (long time series). It is, however, very often of interest how well the methods perform in shorter samples. We carry out an extensive simulation study based on an empirically motivated skill distribution. 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

  • Charlotte Christiansen & Niels S. Grønborg & Ole L. Nielsen, 2018. "Mutual Fund Selection for Realistically Short Samples," CREATES Research Papers 2018-36, Department of Economics and Business Economics, Aarhus University.
  • Handle: RePEc:aah:create:2018-36
    as

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    File URL: ftp://ftp.econ.au.dk/creates/rp/18/rp18_36.pdf
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Mutual funds; Fund selection; Simulation; Small sample properties;

    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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