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An empirical study of performance rating and distribution of mutual funds under the finite mixtures of normal distribution hypothesis.

机译：正态分布假设的有限混合条件下共同基金的绩效评级和分布的实证研究。

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摘要

There are two purposes of this dissertation. The main purpose 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.; Another purpose is to empirically provide the descriptive validity of stable and mixtures of normal distribution hypothesis on mutual fund returns. Even the distribution of mutual fund returns has many implications for financial models and performance studies, it is typically proposed as the normal. Currently, the most convenient distribution assumption for describing the empirical distribution of actual common stock returns is the family of stable or the finite mixtures of normal. Therefore, we perform the validity tests of stability and mixtures of normality under the stability-under-addition property on the cross-sectional actual returns of randomly selected 50 mutual funds.
机译：本文有两个目的。主要目的是根据基金经理的投资组合管理能力，从经验上找到业绩优异的共同基金。在通常用于对共同基金进行聚类的基于百分比的绩效分类方法下，它可能无法产生真正的卓越绩效集。与基于百分位数的对比，在本研究中，我们提出了一种基于分布的性能分类方法，该方法是使用正态分布假设的有限混合物开发的。我们发现正态分布假设的有限混合适合描述横截面超额收益夏普比率的经验分布形式。假设每个超额收益夏普比率都代表基金经理的投资组合管理能力，我们就可以按照同质能力基金经理的组对共同基金进行分类。归类于上级基金管理者组的互惠基金可以被视为卓越绩效者。另一个目的是凭经验提供共同基金收益的稳定分布和正态分布假设混合的描述有效性。即使共同基金收益的分配对财务模型和绩效研究也有许多影响，通常建议将其作为常态。当前，用于描述实际普通股收益率经验分布的最方便的分布假设是稳定的族或正态的有限混合族。因此，我们对随机选择的50只共同基金的横截面实际收益进行了加法稳定性下的稳定性和正态混合的有效性测试。

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  • 作者

    Kim, Dae-Lyong.;

  • 作者单位

    The University of Nebraska - Lincoln.;

  • 授予单位 The University of Nebraska - Lincoln.;
  • 学科 Economics Finance.
  • 学位 Ph.D.
  • 年度 2003
  • 页码 74 p.
  • 总页数 74
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类 财政、金融;
  • 关键词

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