Stijn van Nieuwerburgh on using machine learning, that fund characteristics can consistently differentiate high from low-performing mutual funds, before and after fees. The outperformance persists for more than three years. Fund momentum and fund flow are the most important predictors of future risk-adjusted fund performance, while characteristics of the stocks that funds hold are not predictive.
Machine Learning the Skill of Mutual Fund Managers
We show, using machine learning, that fund characteristics can consistently differentiate high from low-performing mutual funds, before and after fees.
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