Hostname: page-component-84b7d79bbc-rnpqb Total loading time: 0 Render date: 2024-07-26T13:47:27.462Z Has data issue: false hasContentIssue false
  • English
  • Français

Stochastic Dominance and Mutual Fund Performance

Published online by Cambridge University Press:  19 October 2009

O. Maurice Joy  and
R. Burr Porter
Get access Rights & Permissions [Opens in a new window]

Extract

Previous empirical studies of mutual fund performance relative to market performance were conducted using two- and three-moment analysis. This study has applied first-, second-, and third-degree stochastic dominance principles to investigate the same question. Our results support the earlier Sharpe study and oppose the recent Arditti work. From the investor's standpoint, mutual fund performance was inferior to market performance over the period 1954–1963.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 9 , Issue 1 , January 1974 , pp. 25 - 31
Copyright
Copyright © School of Business Administration, University of Washington 1974

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Arditti, F. D. “Another Look at Mutual Fund Performance.” Journal of Financial and Quantitative Analysis, vol. 6 (June 1971), pp. 909–912.CrossRefGoogle Scholar
[2]Carlson, R. S. “Aggregate Performance of Mutual Funds, 1948–1967.” Journal of Financial and Quantitative Analysis, vol. 5 (March 1970), pp. 1–32.CrossRefGoogle Scholar
[3]Hadar, J., and Russell, W. R.. “Rules for Ordering Uncertain Prospects.” American Economic Review, vol. 59 (March 1969), pp. 25–34.Google Scholar
[4]Porter, R. B. “An Empirical Comparison of Stochastic Dominance and Mean-Variance Portfolio Choice Criteria.” Journal of Financial and Quantitative Analysis, vol. 8 (September 1973), pp. 587–608.CrossRefGoogle Scholar
[5]Porter, R. B.; Wart, J.; and Ferguson, D.. “Efficient Algorithms for Conducting Stochastic Dominance Tests of Large Numbers of Portfolios.” Journal of Financial and Quantitative Analysis, vol. 8 (January 1973), pp. 71–81.CrossRefGoogle Scholar
[6]Quirk, J. P., and Saposnik, R.. “Admissibility and Measurable Utility Functions.” Review of Economic Studies, vol. 29 (1962), pp. 140–146.CrossRefGoogle Scholar
[7]Sharpe, W. F. “Mutual Fund Performance.” Journal of Business, vol. 39 (January 1966), pp. 119–138.CrossRefGoogle Scholar
[8]Weisenberger, Arthur, & Co. Investment Companies, 1964 edition. New York: Arthur Weisenberger & Co.Google Scholar
[9]Whitmore, G. A. “Third Degree Stochastic Dominance.” American Economic Review, vol. 60 (June 1970), pp. 457–459.Google Scholar