Evidence of Uniform Inefficiency in Market Portfolios Based on Dominance Tests
研究发现许多广泛持有的主动型投资组合和基金策略相对于常见基准存在随机一致无效率，即存在至少一个占优组合。该结论对一般效用函数和未知收益分布均稳健，检验方法渐近精确且蒙特卡洛模拟表现良好。
We find stochastic uniform inefficiency of many widely held (active) portfolios and fund strategies relative to popular benchmarks. Uniformity provides robust findings over general classes of utility (loss) functions and unknown distribution of returns. Evidence is based on statistical tests for the null of stochastic uniform inefficiency of a given portfolio. The alternative is that there is at least one portfolio that dominates it. We derive an analytical characterization of stochastic uniform inefficiency. We give the limit distribution for the empirical test statistic, and present a practical implementation with block bootstrap for consistent estimation of p-values. Our test is asymptotically exact and performs well in Monte Carlo experiments.