Downside Risk Timing by Mutual Funds

Preprint OPEN
Bodnaruk, Andriy; Chokaev, Bekhan; Simonov, Andrei;
(2015)
  • Subject: downside risk; market timing; mutual funds
    • jel: jel:G11 | jel:G10
    mesheuropmc: health care economics and organizations

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 stoc... View more
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