Mutual Fund Trading Activity and Investor Utility

Can trading activity by managers of high-risk mutual funds make a positive contribution to investor utility? Stochastic dominance is used to compare the returns of high-turnover funds with those of low-turnover funds. This approach avoids the limitations of a mean/variance or regression approach and...

Full description

Saved in:
Bibliographic Details
Published in:Financial analysts journal 1994-05, Vol.50 (3), p.66-69
Main Authors: Walton R. L. Taylor, Yoder, James A.
Format: Article
Language:English
Subjects:
Actively managed funds
Bear markets
Bull markets
Capital assets
Efficient markets
Enterprises
Expected utility
Finance
Financial advisers
Financial portfolios
Investment advisors
Investment companies
Investors
Kurtosis
Market conditions
Mutual funds
Portfolio management
Portfolio performance
Random variables
Rates of return
Scandals
Skewness
Statistical analysis
Stochastic models
Tax returns
Utilities
Utility functions
Citations: Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:Can trading activity by managers of high-risk mutual funds make a positive contribution to investor utility? Stochastic dominance is used to compare the returns of high-turnover funds with those of low-turnover funds. This approach avoids the limitations of a mean/variance or regression approach and minimizes problems of survivorship bias. The results show that high-turnover groups dominate low-turnover groups, or at least are equally attractive to risk-averse investors. Active portfolio management can enhance investor utility, even when the costs of obtaining and exploiting costly information are taken into account.
ISSN:0015-198X
1938-3312
DOI:10.2469/faj.v50.n3.66