Abstract
An issue of concern to mutual fund investors is the information content of various descriptors, which they may use in an attempt to select funds meeting their investment objectives. In this study the authors examine the extent to which two such descriptors, mutual fund types (“objectives”) and historical performance ratings, would have predicted which funds would perform the best during the 1987 stock market crash. Results suggest that while both descriptors were useful in predicting raw mutual fund returns, neither descriptor was particularly useful in predicting risk-adjusted performance during the crash.
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Pope, R.A., Howe, T.S. Mutual fund types, ratings, and performance during the 1987 stock market “crash”. J Econ Finan 16, 31–45 (1992). https://doi.org/10.1007/BF02920106
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DOI: https://doi.org/10.1007/BF02920106