Predicting mutual fund performance is a notoriously difficult task. Although it is well-known that the average actively-managed fund does not beat its benchmark, a subset of particularly skilled managers might outperform the market on a steady basis. Hence, a question of first-order importance for investors is, how to identify these successful funds and managers from an ex-ante point of view.
In this talk, I will examine several fund and manager characteristics that have been shown to be significantly related to future fund performance in academic research papers. Moreover, I will present new approaches to optimally combine these predictor variables based on machine learning techniques. The talk aims to inspire individual and institutional investors to get to know and apply results from scientific research for fund and manager selection.
Florian Weigert is Professor of Financial Risk Management at the University of Neuchâtel (Switzerland). His research focuses on empirical asset pricing, hedge funds, mutual funds, behavioral finance, and risk management. His research projects investigate, among others, the determinants of the cross-section of stock returns, performance measurement for hedge and mutual funds, and the impact of investors’ behavioral biases. His work has been presented at leading academic conferences and published in top finance journals (such as the Journal of Financial Economics, the Review of Finance, the Journal of Financial & Quantitative Analysis, and the Financial Analyst Journal). Florian obtained his Ph.D. in Finance with Summa Cum Laude from the University of Mannheim (Germany). Before joining the faculty of Neuchâtel, he was Assistant Professor at the University of St. Gallen (Switzerland) and a Visiting Scholar at New York University, Georgetown University, the University of Texas at Austin, and Georgia State University (all USA). He is a research fellow at the Centre of Financial Research Cologne (Germany) and the Swiss Society for Financial Markets Research. Florian is the executive director of the Master in Finance programme at the University of Neuchâtel and founder of the finance blog, “The Scientific Investor” (https://www.florian-weigert.com/the-scientific-investor/).