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Stochastic Dominance and Mutual Fund Performance

Published online by Cambridge University Press:  19 October 2009

O. Maurice Joy  and
R. Burr Porter
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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

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References

REFERENCES

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