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Downside Risk Timing by Mutual Fundsстатья
- Авторы: Andriy Bodnaruk, Bekhan Chokaev, Andrei Simonov
- Журнал: REVIEW OF ASSET PRICING STUDIES
- Номер: 1
- Год издания: 2018
- Аннотация: We study whether mutual funds systematically manage the downside risk of their portfolios in ways that improve their performance. We find that actively managed mutual funds on average possess positive downside-risk-timing ability. Managers adjust funds’ downside risk exposure in response to macroeconomic information; however, downside-risk-timing skills remain strong even after controlling for macro variables. Funds more skilled in timing downside risk outperform those that are not by 14.3 bp per month (or 1.73% annualized) unconditionally and by 39.9 bp per month (or 4.89% annualized) during recessions; they also attract larger flows.
- Добавил в систему: Чокаев Бекхан Вахаевич