AgPa #67: Machine-Learned Manager Selection (3/4)
Selecting Mutual Funds from the Stocks They Hold: A Machine Learning Approach (2020)
Bin Li, Alberto G. Rossi
SSRN Working Paper, URL
The third AGNOSTIC Paper on the application of machine learning in manager selection. This week’s paper is very similar to AgPa #65 and AgPa #66, and again examines the data on US mutual funds. Despite somewhat different methodology, the results point in a similar direction. This, of course, increases the evidence that machine learning is actually useful for manager selection…
- Machine learning helps to identify outperforming funds
- The best and worst funds share common characteristics
- Trading Frictions and Momentum are the most relevant variables