Mutual Fund Selection for Realistically Short Samples

50 Pages Posted: 31 Dec 2018 Last revised: 2 Jul 2019

See all articles by Charlotte Christiansen

Charlotte Christiansen

Aarhus University - CREATES

Niels Groenborg

School of Economics and Business Economics, Aarhus University; CREATES; Danish Finance Institute

Ole Linnemann Nielsen

Aarhus University - CREATES

Date Written: July 2019

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.

Keywords: Mutual Funds, Fund Selection, Simulation, Small Sample Properties

JEL Classification: G11, G12, G17, G20

Suggested Citation

Christiansen, Charlotte and Groenborg, Niels and Nielsen, Ole Linnemann, Mutual Fund Selection for Realistically Short Samples (July 2019). Available at SSRN: https://ssrn.com/abstract=3300715 or http://dx.doi.org/10.2139/ssrn.3300715

Charlotte Christiansen

Aarhus University - CREATES ( email )

Fuglesangs Alle 4
Aarhus V, DK 8210
Denmark

Niels Groenborg

School of Economics and Business Economics, Aarhus University ( email )

Fuglesangs Allé 4
DK-8210 Aarhus V, 8210
Denmark

CREATES ( email )

School of Economics and Management
Fuglesangs Allé 4
DK-8210 Aarhus V
Denmark

Danish Finance Institute ( email )

Ole Linnemann Nielsen (Contact Author)

Aarhus University - CREATES ( email )

School of Economics and Management
Building 1322, Bartholins Alle 10
DK-8000 Aarhus C
Denmark

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