Predicting Mutual Fund Performance Using Machine Learning
- By Sam van de Schootbrugge
- 7 min read
Summary
• A new NBER Working Paper uses machine learning to identify the characteristics of high- and low-performing mutual funds.
• It shows mutual fund performance can be predicted, in real time, using fund flows and fund return momentum.
• These metrics indicate mutual fund managers’ skill, and, by reallocating funds from the least to the most skilful managers, investors can make abnormal returns of 50bps a month.
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