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

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

19 Pages Posted: 9 Apr 2009  

Francesco Lisi

University of Padua - Department of Statistical Sciences

Date Written: April 9, 2009

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.

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: https://ssrn.com/abstract=1375730 or http://dx.doi.org/10.2139/ssrn.1375730

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)

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