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Evaluating Mutual Fund Performance
S.P. Kothari Massachusetts Institute of Technology (MIT) - Sloan School of Management Jerold B. Warner University of Rochester - Simon School August 1997 Abstract: We study standard mutual fund performance measures, using simulation procedures combined with random and random-stratified samples of NYSE and AMEX securities. We track simulated fund portfolios over time. These portfolios? performance is ordinary, and well-specified performance measures should not indicate abnormal performance. Our main result, however, is that the performance measures are badly misspecified. Regardless of the performance measure, there are indications of abnormal fund performance, including market-timing ability, when none exists.
JEL Classifications: G12, G14 Working Paper SeriesDate posted: April 13, 1998 ; Last revised: August 29, 2000Suggested CitationContact Information
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