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

See all articles by Alexander Swade

Alexander Swade

Lancaster University - Department of Accounting and Finance; Invesco

Gerrit Köchling

TU Dortmund University

Peter N. Posch

TU Dortmund University

Date Written: November 3, 2020

Abstract

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

Swade, Alexander and Köchling, Gerrit and Posch, Peter N., Managerial Behavior in Fund Tournaments—The Impact of TrueSkill (November 3, 2020). Journal of Asset Management, Vol. 22(1), pp. 62-75, Available at SSRN: https://ssrn.com/abstract=3812208

Alexander Swade (Contact Author)

Lancaster University - Department of Accounting and Finance ( email )

Lancaster, Lancashire LA1 4YX
United Kingdom

Invesco ( email )

An der Welle 5
Frankfurt am Main, 60322
Germany

Gerrit Köchling

TU Dortmund University ( email )

Friedrich-Wöhler-Weg 6
Dortmund, 44227
Germany

Peter N. Posch

TU Dortmund University ( email )

Otto Hahn Str. 6
Dortmund, 44227
Germany

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