Should investors avoid all actively managed mutual funds? A study in Bayesian performance evaluation

• 成果类型: Article
• 署名作者: Baks, KP; Metrick, A; Wachter, J
• 署名单位: University of Pennsylvania; New York University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00319
• 发表日期: 2001
• 页码: 45-85
• 关键词: portfolio efficiency; Estimation risk; persistence; selection; returns; benchmarks; COSTS; CAPM

摘要

This paper analyzes mutual-fund performance from an investor's perspective. We study the portfolio-choice problem for a mean-variance investor choosing among a risk-free asset, index funds, and actively managed mutual funds. To solve this problem, we employ a Bayesian method of performance evaluation; a key innovation in our approach is the development of a flexible set of prior beliefs about managerial skill. We then apply our methodology to a sample of 1,437 mutual funds. We find that some extremely skeptical prior beliefs nevertheless lead to economically significant allocations to active managers.