Should Investors Avoid All Actively Managed Mutual Funds ? A Study in Bayesian Performance Evaluation  

Oleh:

Baks, Klaas P. ; Metrick, Andrew ; Wachter, Jessica

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 1 (2001), page 45-85.
Topik: Bayesian; mutual funds; studies; bayesian analysis; portfolio performance; investment advisors
Fulltext: p 45.pdf (369.37KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Actively managed equity mutual funds have trillions of dollars in assets, collect tens of billions in management fees, and are the subject of enormous attention from investors, the press, and researchers. This paper analyzes mutual -fund performance from an investor's perspective. The portfolio - choice problem for a mean - variance investor choosing among a risk - free asset, index funds, and actively managed mutual funds is studied. To solve this problem, a Bayesian method of performance evaluation is employed, a key innovation in the approach is the development of a flexible set of prior beliefs about managerial skill. The methodology is then applied to a sample of 1,437 mutual funds. Some extremely skeptical prior beliefs nonetheless lead to economically significant allocations to active managers.

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