Load and no-load mutual fund dynamics during the 1987 market crash: A stochastic dominance analysis

Walton Taylor () and James Yoder ()

Journal of Economics and Finance, 1999, vol. 23, issue 3, 255-265

Abstract: Using a large sample of equity mutual fund returns, we compare performance of load and no-load funds during the 1987 crash. Differences in return distributions, particularly in the higher moments when the market was under stress, suggest a greater use of portfolio insurance by no-load fund managers. Using stochastic dominance, we find that load and no-load funds performed equally well before the crash. No-load returns dominated load fund returns during the crash. Load fund returns dominate after the crash. Over the entire month, no-load funds dominate. We attribute this to investor behavior motivated by the lack of a front-end load. Copyright Springer 1999

Date: 1999
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DOI: 10.1007/BF02757710

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