Machine-Learning the Skill of Mutual Fund Managers
“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.”
AssetEquitiesfunds
StrategyMomentumnews sentiment
TechniqueFeedforward network
ClaimAlphaexcess return
Also stated: Long-short, Text and news
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMomentum and trend following by year
FamilyMomentum and trend following289Factor investing240Machine learning return prediction153News sentiment and text signals14818 more · 854
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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