IEFSeminar预告德克萨斯基督大学任珏讲座共同基金风格分析随机占优方法

讲座 预告

主题: 

Mutual Fund Style Analysis: A Stochastic Dominance Approach

内容: 

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 on preferences; and 2) analyzes the entire return distribution for each mutual fund group. We find little evidence that actively managed mutual funds on average underperform the passive benchmark, suggesting that mutual fund performance results are highly sensitive to investor preference assumptions. Exploring the returns for different styles of mutual funds, we find that aggressive mutual funds underperform the market for risk-averse investors, whereas both growth & income and income funds outperform the market for prudent investors. Furthermore, we find that mutual fund portfolios formed by the stochastic dominance approach provide superior future performance.

06月28日（周四）14：00-15：30

位育楼117（可容纳30人）

主讲人简介

任珏

Texas Christian University

Jue Ren is an Assistant Professor of Economics and Finance in the M.J. Neeley School of Business at Texas Christian University. Her research interests include asset pricing, financial institutions, and monetary economics. She holds a Ph.D. in Economics from Emory University and a B.B.A in Finance and Mathematics from University of Wisconsin-Madison.