publication . Article . Preprint . 2018

Downside Risk Timing by Mutual Funds

Andrei Simonov;
Restricted
  • Published: 27 Jan 2018 Journal: The Review of Asset Pricing Studies, volume 9, pages 171-196 (issn: 2045-9920, eissn: 2045-9939, Copyright policy)
  • Publisher: Oxford University Press (OUP)
Abstract
We study whether mutual funds systematically manage downside risk of their portfolios in ways that improve their performance. We find that actively managed mutual funds on average possess positive downside risk timing ability. Funds investing in large-cap and value stocks have stronger downside risk timing skills. Managers adjust funds’ downside risk exposure in response to macroeconomic information. The economic value of downside risk timing is comparable to that of market timing.
Subjects
Medical Subject Headings: health care economics and organizations
free text keywords: downside risk; market timing; mutual funds, Market timing, Risk management, business.industry, business, Beta (finance), Finance, Downside risk, Stock (geology), Financial risk, jel:G10, jel:G11
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publication . Article . Preprint . 2018

Downside Risk Timing by Mutual Funds

Andrei Simonov;