Mutual fund performance with learning across funds
نویسندگان
چکیده
The average level and cross-sectional variability of fund alphas are estimated from a large sample of mutual funds. This information is incorporated, along with the usual regression estimate of alpha, in a (roughly) precision-weighted average measure of individual fund performance. Substantial ‘‘learning across funds’’ is documented, with significant effects on investment decisions. In a Bayesian framework, this form of learning is inconsistent with the assumption, made in the past literature, of prior independence across funds. Independence can be viewed as an extreme scenario in which the true cross-sectional distribution of alphas is presumed to be known a priori. r 2005 Elsevier B.V. All rights reserved. JEL classification: G12; C11
منابع مشابه
Performance Evaluation of Closed Ended Mutual Funds in Pakistan
Mutual funds are the best tool to mobilize savings and investments in an economy and Pakistan is the pioneer in South Asia, but this industry is not as much mature in comparison to its age in Pakistan. This paper examines the performance of closed ended mutual funds in Pakistan by using five different ranking measures during a period of January 2009 to December 2013 and the sample consists of o...
متن کاملMutual Fund Performance: Evidence From the UK
This paper uses a large sample containing the complete return histories of 2300 UK openended mutual funds over a 23-year period to measure fund performance. We find some evidence of underperformance on a risk-adjusted basis by the average fund manager, persistence of performance and the existence of a substantial survivor bias. Similar findings have been reported for US equity mutual funds. New...
متن کاملMutual Fund Style Analysis: A Stochastic Dominance Approach
It is a well-known fact that actively managed mutual funds on average underperform passive benchmarks. In this paper, we use the stochastic dominance test proposed by Linton, Maasoumi, and Whang (2005) to shed new light on mutual fund performance on average and across styles. This test evaluates mutual fund performance using a non-parametric framework that 1) imposes a minimal set of conditions...
متن کاملStudying the Adjustment Amount of Ranking the Performance of Mutual Funds Based on Omega Ratio and Real Return
One of the main functionalities of capital market is to enhance liquidity in the market. Mutual funds are modern financial institutions which are designed with the aim of absorbing funds from investors and devote them to buy a variety of securities in order to reduce investment risks, exploit the economies of scale and finally make a reasonable return for investors. Regarding effective role of ...
متن کاملFund Performance
This note reviews the literature on fund performance. A practical way of gauging market efficiency is to attempt to identify above-average risk-adjusted returns from one or more market participants that are the result of skill, as opposed to luck. If any such returns are identified, then the market is not efficient. In practice, such a test is best performed by seeking persistence in the return...
متن کامل