"Mutual Fund's R2 as Predictor of Performance," Review of Financial Studies
Authors: Amihud, Yakov;聽Goyenko, Ruslan Y.
Publication: Review of Financial Studies, March 2013
Abstract:
We propose that fund performance can be predicted by its R2, obtained from a regression of its returns on a multifactor benchmark model. Lower R2 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, R2 is positively associated with fund size and negatively associated with its expenses and manager's tenure. 漏 2013 The Author 2013. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved.
Feedback
For more information or if you would like to report an error, please web.desautels [at] mcgill.ca (subject: Website%20News%20Comments) (contact us).
