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| Tekijä: | Avramov, D. Wermers, R. |
| Otsikko: | Investing in mutual funds when returns are predictable |
| Lehti: | Journal of Financial Economics
2006 : AUG, VOL. 81:2, p. 339-377 |
| Asiasana: | asset management equity capital return on investment unit trusts USA |
| Kieli: | eng |
| Tiivistelmä: | The article forms investment strategies in US domestic equity mutual funds, incorporating predictability in 1) manager skills, 2) fund risk loadings, and 3) benchmark returns. Predictability in manager skills is found to be the dominant source of investment profitability - long-only strategies that incorporate such predictability outperform their Fama-French and momentum benchmarks by 2-4%/year by timing industries over the business cycle, and by an additional 3-6%/year by choosing funds that outperform their industry benchmarks. |
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