WBS PhD Seminar: Investing in Mutual Funds: Exploiting the Cross-Divisional Predictability of Fund Performance by Dr. Xin “Shane” Gao | Events | Calendar | news

December 5, 2022 (Monday)

11:00 a.m. – 12:00 p.m

UH405

zoom link

https://wpi.zoom.us/j/96558961714?from=addon

Meeting ID: 965 5896 1714

Investing in Mutual Funds: Leveraging the cross-divisional predictability of fund performance

Abstract:

We examine the economic value generated by US equity funds from the perspective of an expected utility-maximizing investor. The proposed optimal portfolio strategy, which jointly uses information provided by fund characteristics and macroeconomic indicators about future fund performance, outperforms commonly used passive benchmarks as well as active strategies that exploit fund characteristics but do not rely on the principles of portfolio theory. Our results indicate that investing in active mutual funds can add value when investors: a) consider the predictability of performance derived from fund-level information; b) Take an optimal portfolio approach, as opposed to simpler strategies based on sorting or weighting.

Xin “Shane” Gao

Xin “Shane” Gao is an assistant professor of finance at Sacred Heart University. His current research interests are empirical asset pricing, asset allocation, institutional investors, commodities, corporate bonds and financial econometrics. His research articles have appeared in the Journal of Financial and Quantitative Analysis, the Quarterly Journal of Finance, the Journal of Futures Markets, and the Journal of Commodity Markets.

Shane’s main teaching interests are investing, portfolio management, derivatives, financial econometrics, financial technology and financial data analysis.

Shane holds a bachelor’s degree in computer science from the University of Science & Technology Beijing, China, a master’s degree in computer science from the University of Bristol, UK, a master’s degree in quantitative finance from Rutgers University and a doctorate in finance from the University of Houston.

Contact: [email protected]