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- W2116385238 abstract "Our framework for evaluating and investing in mutual funds combines observed returns on funds and passive assets with prior beliefs that distinguish pricing-model inaccuracy from managerial skill. A fund’s “alpha” is defined using passive benchmarks. We show that returns on non-benchmark passive assets help estimate that alpha more precisely for most funds. The resulting estimates generally vary less than standard estimates across alternative benchmark specifications. Optimal portfolios constructed from a large universe of equity funds can include actively managed funds even when managerial skill is precluded. The fund universe offers no close substitutes for the Fama-French and momentum benchmarks." @default.
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- W2116385238 date "2000-07-01" @default.
- W2116385238 modified "2023-09-25" @default.
- W2116385238 title "Evaluating and Investing in Equity Mutual Funds" @default.
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- W2116385238 doi "https://doi.org/10.3386/w7779" @default.
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