Mutual Fund's R2 as Predictor of Performance

被引：233

作者：

Amihud, Yakov ^{[1
]}

Goyenko, Ruslan ^{[2
]}

机构：

[1] NYU, Stern Sch Business, New York, NY 10003 USA

[2] McGill Univ, Desautels Fac Management, Montreal, PQ H3A 2T5, Canada

来源：

REVIEW OF FINANCIAL STUDIES | 2013年 / 26卷 / 03期

关键词：

HETEROSKEDASTICITY; PERSISTENCE; VARIABLES; RETURNS; HEDGE;

D O I：

10.1093/rfs/hhs182

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We propose that fund performance can be predicted by its R-2, obtained from a regression of its returns on a multifactor benchmark model. Lower R-2 indicates greater selectivity, and it significantly predicts better performance. Stock funds sorted into lowest-quintile lagged R-2 and highest-quintile lagged alpha produce significant annual alpha of 3.8%. Across funds, R-2 is positively associated with fund size and negatively associated with its expenses and manager's tenure.

引用

页码：667 / 694

页数：28

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