학회 소식
공지사항
[2004년 제 1차] Empirical Performance Rating of Mutual Funds
작성자 : 관리자
조회수 : 819
게시일 :
2004-03-09
The purpose of this study is to empirically find the set of superior performing mutual funds based on the portfolio management ability of fund managers. Under the percentile-based performance classification method that is typically used to cluster mutual funds, it might not yield the true superior performance set. In contrast to the percentile-based, in this study we propose a distribution-based performance classification method that is developed using the finite mixtures of normal distribution hypothesis. We find that the finite mixtures of normal distribution hypothesis is appropriate to describe the form of the empirical distribution of the cross-sectional excess-return Sharpe ratios. Assuming each excess-return Sharpe ratio represents the portfolio management ability of fund manager, we are able to classify mutual funds by the homogeneous-ability fund managers` groups. Mutual funds, which are classified into the superior-ability fund managers` group, can be treated as superior performers.