Another Look at Mutual Fund Performance

Arditti, Fred D.

doi:10.2307/2329910

Cited by 135 publications

(55 citation statements)

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“…Buying puts produces positive skewness whereas selling calls produces negative skewness. It is generally agreed in the literature that positive skewness is preferable to negative skewness (see Levy and Sarnat (1984), Arditti (1971), and Kraus and Litzenberger (1976)). Thus, there are trade-offs in the moments of the end of period wealth distributions.…”

Section: Resultsmentioning

confidence: 97%

Investment decision making with index futures and index futures options

Brooks

1989

Journal of Futures Markets

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Section: Resultsmentioning

confidence: 97%

Investment decision making with index futures and index futures options

Brooks

1989

Journal of Futures Markets

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“…Thus, he provides evidence that on an average the return earned by an investor by investing a given some of money in the mutual fund is distinctly inferior to a same amount of investment made in the D-J industrial average. However, Arditti (1971) showed that if another variable (i.e, sum of dividend, capital gains distribution, and change in net asset value, etc.) were introduced into the investors' decision making process then Sharpe's conclusion could be changed.…”

Section: Literature Reviewmentioning

confidence: 99%

Conditional selectivity performance of Indian mutual fund schemes: An empirical study

Roy¹

2015

10.5267/j.msl

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The present study seeks to examine the stock-selection performance of the sample open-ended equity mutual fund schemes of Birla Sun Life Mutual Fund Company based on traditional and conditional performance measures. It is generally expected that inclusion of some relevant predetermined public information variables in the conditional CAPM provides better performance estimates as compared to the traditional measures. The study reports that after inclusion of conditioning public information variables, the selectivity performances of the schemes have dramatically improved relative to the traditional measure and also found that conditional measure is superior to traditional measure in statistical test.Growing Science Ltd. All rights reserved. 5

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“…If asymmetry exists, it can be positive or negative, and the probabilities of extreme above-or below-average returns vary significantly. Arditti [2,3] explains that investors are prone to positive distribution asymmetry, since positive asymmetry lowers the probability of extreme below-average returns. Consequently, the third moment exhibits a positive effect on the utility.…”

Section: Theoretical Foundations For Analyzing Higher Momentsmentioning

confidence: 99%

Untitled

2015

Croat. Oper. Res. Rev.

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Abstract. Recent research in the field of investor preference has emphasised the need to go beyond just simply analyzing the first two moments of a portfolio return distribution used in a MV (mean-variance) paradigm. The suggestion is to observe an investor's utility function as an n th order Taylor approximation. In such terms, the assumption is that investors prefer greater values of odd and smaller values of even moments. In order to investigate the preferences of Croatian investment funds, an analysis of the moments of their return distribution is conducted. The sample contains data on monthly returns of 30 investment funds in Croatia for the period from January 1999 to May 2014. Using the theoretical utility functions (DARA, CARA, CRRA), we compare changes in their preferences when higher moments are included. Moreover, we investigate an extension of the CAPM model in order to find out whether including higher moments can explain better the relationship between the awards and risk premium, and whether we can apply these findings to estimate preferences of Croatian institutional investors. The results indicate that Croatian institutional investors do not seek compensation for bearing greater market risk.

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Another Look at Mutual Fund Performance

Cited by 135 publications

References 1 publication

Investment decision making with index futures and index futures options

Investment decision making with index futures and index futures options

Conditional selectivity performance of Indian mutual fund schemes: An empirical study

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