Finance Seminar with Alberto Rossi, McDonough School of Business, Georgetown University

Alberto Rossi will present:

Selecting Mutual Funds from the Stocks They Hold: a Machine Learning Approach

ABSTRACT: We combine individual mutual fund holdings and a large number of stock characteristics (factors) to compute fund-level exposures to factors on the basis of the stocks they hold. Fund performance is non-linearly related to fund factor exposures and their interactions. This feature proves important when we predict fund performance, as machine learning methods such as boosted regression trees (BRTs) signi_cantly outperform standard linear frameworks and the BRT-generated forecasts encompass the ones generated by the predictors of mutual fund performance that have been proposed in the literature so far. Finally, factor exposures explain the vast majority of mutual fund performance.

Location:
Solbjerg Plads 3
2000 Frederiksberg
Room: SPs05