Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation

By Klaas P. Baks, Andrew Metrick, Jessica A. Wachter. 2001

289 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/285bd3b1919d0b84b997b65e13810d6a43e01306

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Citations in the corpus

Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market? (2009, background): “Baks et al. (2001) and Pastor (2000)), we assume that the investor has quadratic utility.”
Cross-Sectional Learning and Short-Run Persistence in Mutual Fund Performance (2007, unknown): “More recently, several papers have advocated the use of more advanced shrinkage procedures within a formal Bayesian framework to estimate mutual fund alphas, see, e.g., Baks et al. (2001), Pastor and Stambaugh (2002b,a), Jones and Shanken (2005), and Busse and Irvine (2006).”
Bayesian Alphas and Mutual Fund Persistence (2006, unknown): “Baks, Metrick, and Wachter (2001) find that particular priors can justify investment in active mutual funds, even for investors who have little belief in either managerial skill or asset pricing models.”
Learning in Financial Markets (2009, background): “Examples of studies that use Bayesian empirical techniques to analyze the performance of money managers include Baks, Metrick, and Wachter (2001), Pástor and Stambaugh (2002a), Jones and Shanken (2005), Busse and Irvine (2006), and Kosowski, Naik, and Teo (2007).”
Mutual Fund Performance: Skill or Luck? (2005, background): “…(and pension) funds suggest little or no superior performance but somewhat stronger evidence of underperformance (e.g. Lakonishok et al 1992, Grinblatt, Titman and Wermers 1995, Daniel et al 1997, Carhart 1997, Chevalier and Ellison 1999, Wermers 2000, Baks et al 2001, Pastor and Stambaugh 2002).”
Predicting stock returns (2006, unknown): “In particular, in the spirit of Baks, Metrick, and Wachter (2001) and Pastor and Stambaugh (2002), first we assume that conditional on the realized stock returns the probability of survival is unaffected by conditioning on the true values of the parameters that govern the evolution of stock returns.”
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas. (2005, methodology): “Substituting the estimate b π0 in Equations (2), (3), and replacing E(S+ γ ) with the observed proportion of significant funds in the right tail, b S+ γ , we can easily estimate E(F+ γ ) and E(T + γ ) corresponding to any chosen significance level, γ.”
Do hedge funds deliver alpha? A Bayesian and bootstrap analysis (2007, background): “…fund studies given the severity of the small sample problem Our study joins a nascent body of work that applies Bayesian methodology to the study of fund performance.4 Baks, Metrick, and Wachter (2001) estimate mutual funds’ alphas based on informative prior beliefs about individual fund alphas.”