Abstract

http://ssrn.com/abstract=1319786
 
 

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Mutual Fund's R2 as Predictor of Performance


Yakov Amihud


New York University - Stern School of Business

Ruslan Goyenko


McGill University - Desautels Faculty of Management

October 23, 2012

Forthcoming, Review of Financial Studies

Abstract:     
We propose that fund performance can be predicted by its R2, obtained from a regression of its returns on a multi-factor benchmark model. Lower R2 indicates greater selectivity and it significantly predicts better performance. Stock funds sorted into lowest-quintile lagged R2 and highest-quintile lagged alpha produce significant annual alpha of 3.8%. Across funds, R2 is positively associated with fund size and negatively associated with its expenses and manager’s tenure.

Number of Pages in PDF File: 49

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Date posted: December 24, 2008 ; Last revised: November 10, 2012

Suggested Citation

Amihud, Yakov and Goyenko, Ruslan, Mutual Fund's R2 as Predictor of Performance (October 23, 2012). Forthcoming, Review of Financial Studies. Available at SSRN: http://ssrn.com/abstract=1319786 or http://dx.doi.org/10.2139/ssrn.1319786

Contact Information

Yakov Amihud
New York University - Stern School of Business ( email )
44 West 4th Street
Suite 9-190
New York, NY 10012-1126
United States
212-998-0720 (Phone)
212-995-4233 (Fax)
Ruslan Goyenko (Contact Author)
McGill University - Desautels Faculty of Management ( email )
1001 Sherbrooke St. West
Montreal, Quebec H3A1G5 H3A 2M1
Canada
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