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Enareta Kurtbegu and Juliana Caicedo-llano
 
''European equity fund managers: luck or skill?!''
( 2014, Vol. 34 No.4 )
 
 
Seeking persistent abnormal portfolio performance has been a key question for academics and practitioners. The main challenge in the construction of fund-of-funds is the ex-ante selection of "skilled" managers, ex-post outperforming the benchmark. This empirical study focused on European mutual funds, consists in using the False Discovery Rate selecting procedure. The standard tests to identify funds with non-zero alphas do not adequately account for the presence of "luck", while this becomes an important issue when one deals with multiple testing. Different pricing models are used and the performance of constructed fund-of-funds is analyzed in-sample and out-of-sample for different investment strategies.
 
 
Keywords: Fund-of-Funds, Factor Models, False Discovery Rate, Performance
JEL: C4 - Econometric and Statistical Methods: Special Topics
G1 - (G11, G13, G13) Portfolios, Investments, Asset and Futures Pricing, Trading Volume & Bond Interest Rates
 
Manuscript Received : May 19 2014 Manuscript Accepted : Nov 06 2014

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