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- W2127347509 abstract "We propose that fund performance can be predicted by its R2, obtained from a regression of its returns on a multi-factor benchmark model. Lower R2 indicates greater selectivity and it significantly predicts better performance. Stock funds sorted into lowest-quintile lagged R2 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." @default.
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- W2127347509 date "2012-01-01" @default.
- W2127347509 modified "2023-09-23" @default.
- W2127347509 title "Mutual Fund's R2 as Predictor of Performance" @default.
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- W2127347509 doi "https://doi.org/10.2139/ssrn.1319786" @default.
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