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Further Applications of Stochastic Dominance to Mutual Fund Performance

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  • Meyer, Jack

Abstract

In a recent paper Joy and Porter [4] used the concept of stochastic dominance to address the question of whether or not mutual funds outperform the Dow Jones Industrial Average (DJIA). Since that time Meyer [5] has proven a theorem in the area of stochastic dominance which allows one to make further application of stochastic dominance to this question. The major purpose of this paper is to demonstrate the power and relevance of the recently developed stochastic dominance theorem in ordering investments for groups of investors. In doing so, some evidence is presented concerning mutual funds and the DJIA.

Suggested Citation

  • Meyer, Jack, 1977. "Further Applications of Stochastic Dominance to Mutual Fund Performance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(2), pages 235-242, June.
    • Handle: RePEc:cup:jfinqa:v:12:y:1977:i:02:p:235-242_02
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    Cited by:

    1. Schumann, Keith D., 2011. "Semi-nonparametric test of second degree stochastic dominance with respect to a function," Journal of Econometrics, Elsevier, vol. 162(1), pages 71-78, May.
    2. Dominic Gasbarro & Wing-Keung Wong & J. Kenton Zumwalt, 2007. "Stochastic Dominance Analysis of iShares," The European Journal of Finance, Taylor & Francis Journals, vol. 13(1), pages 89-101.
    3. Sree Vinutha Venkataraman & S. V. D. Nageswara Rao, 2023. "Stochastic dominance algorithms with application to mutual fund performance evaluation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 681-698, January.
    4. Phillips Peter J. & Pohl Gabriela, 2018. "The Deferral of Attacks: SP/A Theory as a Model of Terrorist Choice when Losses Are Inevitable," Open Economics, De Gruyter, vol. 1(1), pages 71-85, February.
    5. Dominic Gasbarro & Wing-Keung Wong & J. Kenton Zumwalt, 2007. "Stochastic Dominance Analysis of iShares," The European Journal of Finance, Taylor & Francis Journals, vol. 13(1), pages 89-101.
    6. M. Maheen & S. Resia Beegam, 2023. "Application of Nonparametric Stochastic Dominance Approach in the Performance Evaluation of Indian Mutual Funds," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 21(3), pages 663-680, September.
    7. Eric Attias & Cyrille Piatecki, 1996. "Where to be born? A normative approach of life duration inequalities in the world," Health Economics, John Wiley & Sons, Ltd., vol. 5(6), pages 559-572, November.
    8. Spector, Yishay & Leshno, Moshe & Horin, Moshe Ben, 1996. "Stochastic dominance in an ordinal world," European Journal of Operational Research, Elsevier, vol. 93(3), pages 620-627, September.
    9. Levy, Moshe, 2009. "Almost Stochastic Dominance and stocks for the long run," European Journal of Operational Research, Elsevier, vol. 194(1), pages 250-257, April.
    10. Ron Bird & Helen Chin & Michael McCrae, 1983. "The Performance of Australian Superannuation Funds," Australian Journal of Management, Australian School of Business, vol. 8(1), pages 49-69, June.
    11. Peter J. Phillips & Gabriela Pohl, 2017. "Terrorist choice: a stochastic dominance and prospect theory analysis," Defence and Peace Economics, Taylor & Francis Journals, vol. 28(2), pages 150-164, March.
    12. Jack Meyer & Robert H. Rasche, 1989. "Kolmogorov-Smirnov Tests For Distribution Function Similarity With Applications To Portfolios of Common Stock," NBER Technical Working Papers 0076, National Bureau of Economic Research, Inc.
    13. James S. Ang & Jess H. Chua & Anand S. Desai, 1980. "Efficient Portfolios Versus Efficient Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(3), pages 309-319, September.
    14. Cochran, Mark J., 1986. "Stochastic Dominance: The State Of The Art In Agricultural Economics," Regional Research Projects > 1986: S-180 Annual Meeting, March 23-26, 1986, Tampa, Florida 271995, Regional Research Projects > S-180: An Economic Analysis of Risk Management Strategies for Agricultural Production Firms.
    15. Morey, Matthew R. & Morey, Richard C., 1999. "Mutual fund performance appraisals: a multi-horizon perspective with endogenous benchmarking," Omega, Elsevier, vol. 27(2), pages 241-258, April.

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