Managerial Behavior in Fund Tournaments—The Impact of TrueSkill
Journal of Asset Management, Vol. 22(1), pp. 62-75
34 Pages Posted: 29 Mar 2021
Date Written: November 3, 2020
Measuring mutual fund managers’ skills by Microsoft’s TrueSkill algorithm, we find highly skilled managers to behave self-confident resulting in higher risk-taking in the second half of the year compared to less skilled managers. Introducing the TrueSkill algorithm, which is widely used in the e-sports community, to this branch of literature, we can replicate previous findings and theories suggesting overconfidence for mid-years winners.
Keywords: Fund tournament, Skill, Risk-shifting, TrueSkill, Bayesian network
JEL Classification: G11, G23, G40
Suggested Citation: Suggested Citation