Diversification across mutual funds in a three-moment world

Nancy Cromwell, Walton Taylor and James Yoder

Applied Economics Letters, 2000, vol. 7, issue 4, 243-245

Abstract: The standard deviation and skewness of returns of mutual fund portfolios is examined as the number of funds in the portfolio increases. Diversifying across mutual funds substantially reduces portfolio dispersion but also causes an undesirable increase in negative return skewness.

Date: 2000
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DOI: 10.1080/135048500351591

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