复旦大学投资学课件Section3 Returns equity mutual funds

1、Returns from investing in equity mutual funds 1971 to 1991Burton G. MalkielJOF 1995IntroductionvEarly 1970s, EMH acceptedvBy the early 1980s, several cracks: returns are not independent and correlated over time. The predictability of returnsvMost efficiency test are joint testsvEugene Fama:”Sequels

2、are rarely as good as the originals.”vJensen(1968): performance of mutual funds was inferior to randomly selected portfolios with equivalent riskvHenriksson(1984): fund managers have enough private information to offset expenses.v hot hand phenomenonvSection 1: datavSection 2: performance of the equ

3、ity mutual fundsvSection 3: hot hand phenomenonvSection 4: simulate investment strategiesvSection 5: relation between returns and expensesvconclude1 Survivorship bias and the data set employedvTodays investors are not interested in the funds that no longer exist, which creates the biases in the figu

4、res.vHigh returns: the funds failed have been dropped out of the samplevTendency of more successful funds to survive, overstated.v“incubator” fundsvFunds data 1971-1991: all general equity funds sold to the public. vQuarterly total returns.Some survivorship in table 1The differences is big2. A close

5、r look at performancevThe t is only -0.21, so it is indistinguishable from 0. even surviving funds do not produce excess returns for investors after expenses.vThe numbers of positive alpha and negative alpha are approximately equal. vTable 3vGrossman and Stiglitz(1980): positive alphas for pre-expen

6、se returns confirm that mutual funds do earn gross returns to cover expensesvBut positive alphas are small and insignificant. EGDH(1993): inappropriate benchmarks, if corrects for the non-S&P stocks, the positive alphas disappear.vThe 1980s: small stocks tended to underperform the S&P stock

7、index.v10-year sample limitedvThere is relationship between returns and betas in mutual funds. The betas are stablevOver 20 year period 1971 to 1991, the relationships between betas and total returns disappear.3. The “Hot Hand” Phenomenon: the persistence of mutual fund returnsvHot hand: mutual fund

8、s that achieved above average returns continue to enjoy superior performance.vExpense ratios will also influencevAnalyze the predictability of performance by two-way tables showing successful performance over successive periods.Weaker during the 1980s4 simulations of strategies based on the persiste

9、ncevWhether the persistence of performance is economically significant.vAfter simulation: a large number of strategies based on the persistence of returns would have produced excess returns during the 1970s.vBut not 1980s 4.A strategies involving the purchase of top performing fundsvThe analysis sup

10、port that investors who put money into actively managed funds might help themselves by purchasing funds with good recent records.vSeveral caveats:vThe results are not robustvThe strategy worked during the 1970s for the 8% load charges and survivorship bias4.B strategies involving the purchase of For

11、bes “Honor Roll” Funds.5 An analysis of Expense RatiosvRelationship between management expenses and fund returns for the ten year from 1982- 1991vNegative relationship between expense ratio and its net performancevPositive relationship between advisory expenses and performance6 Concluding Commentsv1971-1991 data and CAPM framework, but fail to document any evidence of excess return and fails to verify the risk r