Abstract

http://ssrn.com/abstract=75871
 
 

References (48)



 
 

Citations (75)



 


 



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


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Date posted: April 13, 1998  

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

Contact Information

S.P. Kothari (Contact Author)
Massachusetts Institute of Technology (MIT) - Sloan School of Management ( email )
E52-325
Cambridge, MA 02142
United States
617-253-0994 (Phone)
617-253-0603 (Fax)
Jerold B. Warner
Simon Graduate School of Business, University of Rochester ( email )
Carol Simon Hall 3-160H
Rochester, NY 14627
United States
585-275-2678 (Phone)
585-442-6323 (Fax)
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References:  48
Citations:  75

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