Double-Adjusted Mutual Fund Performance

Review of Asset Pricing Studies, Forthcoming

64 Pages Posted: 1 Nov 2014 Last revised: 30 Jun 2020

See all articles by Jeffrey A. Busse

Jeffrey A. Busse

Emory University - Department of Finance

Lei Jiang

Tsinghua University

Yuehua Tang

University of Florida - Department of Finance

Date Written: May 12, 2020


Mutual fund returns are significantly related to stock characteristics in the cross section after controlling for risk via factor models. We develop a new double-adjusted approach that controls for both factor-model betas and stock characteristics in one performance measure. The new measure substantially affects performance rankings, with a quarter of funds experiencing a change in percentile ranking greater than ten. Double-adjusted performance produces strong evidence of persistence in relative performance. Inference based on the new measure often differs, sometimes dramatically, from that based on traditional performance estimates

Keywords: Manager skill, double-adjusted performance, factor model, stock characteristics, mutual funds

JEL Classification: G11, G23, J24

Suggested Citation

Busse, Jeffrey A. and Jiang, Lei and Tang, Yuehua, Double-Adjusted Mutual Fund Performance (May 12, 2020). Review of Asset Pricing Studies, Forthcoming, Available at SSRN: or

Jeffrey A. Busse (Contact Author)

Emory University - Department of Finance ( email )

Atlanta, GA 30322-2710
United States
404-727-0160 (Phone)
404-727-5238 (Fax)

Lei Jiang

Tsinghua University ( email )

Beijing, 100084

Yuehua Tang

University of Florida - Department of Finance ( email )

P.O. Box 117168
Gainesville, FL 32611
United States


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