Downside Risk Timing by Mutual Funds
35 Pages Posted: 1 Jun 2015
There are 3 versions of this paper
Date Written: May 2015
Abstract
We study whether mutual funds systematically manage downside risk of their portfolios in ways that improve their performance. We find that actively managed mutual funds on average possess positive downside risk timing ability. Funds investing in large-cap and value stocks have stronger downside risk timing skills. Managers adjust funds downside risk exposure in response to macroeconomic information. The economic value of downside risk timing is comparable to that of market timing.
Keywords: downside risk, market timing, mutual funds
JEL Classification: G10, G11
Suggested Citation: Suggested Citation
Bodnaruk, Andriy and Chokaev, Bekhan and Simonov, Andrei, Downside Risk Timing by Mutual Funds (May 2015). CEPR Discussion Paper No. DP10639, Available at SSRN: https://ssrn.com/abstract=2613036
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