Author： Sengupta Jati K.
Publisher： Routledge Ltd
ISSN： 1466-4305
Source： Applied Financial Economics, Vol.13, Iss.12, 2003-12, pp. : 849-856
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Abstract
A set of nonparametric tests which includes the convex hull method and the stochastic dominance criteria is developed here for evaluating the performance of mutual fund portfolios. The empirical results support the hypothesis that some groups of funds based on new technology tend to outperform the others and in most cases the investor shows a preference for skewness, thus emphasizing an asymmetry in the mean variance relationship. Technology funds tend to exhibit second order stochastic dominance over the income and growth funds. This shows some new features of the mean variance efficiency frontier.
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