In contrast, the superior performance of optimal portfolios that incorporate predictable
manager skills is robust to adjusting investment returns by the Fama-French and
momentum benchmarks. Moreover, it is also robust to adjusting investment returns by the
size, book-to-market, and momentum characteristics per Daniel et al. (1997).We
demonstrate further that our predictable skill strategies perform best during recessions, but
also quite well during expansions, generating positive and significant performance in
absolute terms as well as relative to benchmarks. In addition, the predictable skill
strategies are able to identify the very best performing funds during both expansions and
recessions....
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Why Constrain Your Mutual Fund Manager?
Why Constrain Your Mutual Fund Manager?
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