Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation
从投资者视角出发，运用贝叶斯方法评估主动管理型共同基金的绩效，发现即使持有极度怀疑的信念，投资者仍可能将可观资金配置给主动管理者。
ABSTRACT This paper analyzes mutual‐fund performance from an investor's perspective. We study the portfolio‐choice problem for a mean‐variance investor choosing among a risk‐free asset, index funds, and actively managed mutual funds. To solve this problem, we employ a Bayesian method of performance evaluation; a key innovation in our approach is the development of a flexible set of prior beliefs about managerial skill. We then apply our methodology to a sample of 1,437 mutual funds. We find that some extremely skeptical prior beliefs nevertheless lead to economically significant allocations to active managers.