Dicing with the Market: Randomized Procedures for Evaluation of Mutual Funds

Lisi, Francesco

doi:10.2139/ssrn.1375730

Abstract

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Dicing with the Market: Randomized Procedures for Evaluation of Mutual Funds

Francesco Lisi

University of Padua - Department of Statistical Sciences

April 9, 2009

Department of Statistical Sciences of the University of Padua Working Paper No. 9-2008

Abstract:
A statistically correct procedure for evaluating management skill in the mutual fund industry is described. The approach is based on random and semi-random portfolios and is completely data-driven, allowing reference to a specific benchmark or to peer-groups to be avoided. Rather, it produces a new benchmark, which represents the minimum level of performance that skilled management should reach. An application to some Italian equity funds is also given.

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Date posted: April 9, 2009

Suggested Citation

Lisi, Francesco, Dicing with the Market: Randomized Procedures for Evaluation of Mutual Funds (April 9, 2009). Department of Statistical Sciences of the University of Padua Working Paper No. 9-2008. Available at SSRN: http://ssrn.com/abstract=1375730 or http://dx.doi.org/10.2139/ssrn.1375730

Contact Information

Francesco Lisi (Contact Author)

University of Padua - Department of Statistical Sciences ( email )

V. Cesare Battisti, 241
Padova, 35122
Italy
+39 049 8274182 (Phone)
+39 049 8274170 (Fax)