Investing in mutual funds when returns are predictable

@inproceedings{Smith2006InvestingIM,
  title={Investing in mutual funds when returns are predictable},
  author={Robert Henry. Smith},
  year={2006}
}
This paper forms investment strategies in US domestic equity mutual funds, incorporating predictability in (i) manager skills, (ii) fund risk loadings, and (iii) benchmark returns. We find predictability in manager skills to be the dominant source of investment profitability—long-only strategies that incorporate such predictability outperform their Fama-French and momentum benchmarks by 2 to 4%/year by timing industries over the business cycle, and by an additional 3 to 6%/year by choosing… CONTINUE READING

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Long/Short Equity Hedge Funds and Systematic Ambiguity

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Discussion : mutual fund performance : an empirical decomposition into stock - picking talent , style , transactions costs , and expenses

T. Moskowitz
  • Journal of Finance
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