Cloning mutual fund returns

被引：0

作者：

Auer, Benjamin R. ^{[1
,2
,3
,5
]}

Schuhmacher, Frank ^{[2
]}

Niemann, Sebastian ^{[4
]}

机构：

[1] Friedrich Schiller Univ Jena, Jena, Germany

[2] Univ Leipzig, Leipzig, Germany

[3] CESifo Munich, Munich, Germany

[4] DWPT Deutsch Wertpapiertreuhand GmbH, Herzogenaurach, Germany

[5] Friedrich Schiller Univ Jena, Chair Finance, Carl Zeiss Str 3, D-07743 Jena, Germany

来源：

QUARTERLY REVIEW OF ECONOMICS AND FINANCE | 2023年 / 90卷

关键词：

Mutual funds; Exchange traded funds; Replication; Least absolute shrinkage and selection; operator; VARIABLE SELECTION; CROSS-SECTION; PERFORMANCE; LASSO; SHRINKAGE; MARKETS; SKILL; STYLE;

D O I：

10.1016/j.qref.2023.04.006

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Motivated by the increasing competition between traditional mutual funds and highly accessible exchange traded funds (ETFs), we analyze the potential of the latter to replicate the returns of the former. In a pe-nalized big data regression setup, we find that clone portfolios perform remarkably well both in sample and out of sample. However, depending on the investment style of a targeted mutual fund, a rather large number of ETFs can be required for cloning. & COPY; 2023 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved.

引用

页码：31 / 37

页数：7

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