Investing in equity mutual funds

• 成果类型: Article
• 署名作者: Pástor, L; Stambaugh, RF
• 署名单位: University of Chicago; University of Pennsylvania; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(02)00065-X
• 发表日期: 2002
• 页码: 351-380
• 关键词: mutual funds; PORTFOLIO SELECTION

摘要

We construct optimal portfolios of equity funds by combining historical returns on funds and passive indexes with prior views about asset pricing and skill, By including both benchmark and nonbenchmark indexes, we distinguish pricing-model inaccuracy from managerial skill. Modest confidence in a pricing model helps construct portfolios with high Sharpe ratios. Investing in active mutual funds can be optimal even for investors who believe managers cannot outperform passive indexes. Optimal portfolios exclude hot-hand funds even for investors who believe momentum is priced. Our large universe of funds offers no close substitutes for the Fama-French and momentum benchmarks. (C) 2002 Elsevier Science B.V. All rights reserved.