Evaluating Mutual Fund Performance
S.P. Kothari
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Jerold B. Warner
Simon Graduate School of Business, University of Rochester
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.
Number of Pages in PDF File: 46
JEL Classification: G12, G14
working papers series
Suggested Citation
Kothari, S.P. and Warner, Jerold B., Evaluating Mutual Fund Performance (August 1997). Available at SSRN: http://ssrn.com/abstract=75871 or http://dx.doi.org/10.2139/ssrn.75871
