Generalized Functional Form for Mutual Fund Returns

JOURNAL OF FINANCIAL & QUANTITATIVE ANALYSIS, 1980 December, XV(5), pages 1107-1120

15 Pages Posted: 1 Apr 2015 Last revised: 12 Apr 2019

See all articles by Frank J. Fabozzi

Frank J. Fabozzi

EDHEC Business School

Jack Clark Francis

Zicklin School of Business, Baruch College

Cheng-Few Lee

Rutgers, The State University of New Jersey - New Brunswick/Piscataway

Date Written: March 30, 1980

Abstract

Jensen developed a well-known portfolio performance evaluation measure. Subsequently, Jensen formulated a return-generating model to measure portfolio performance. Lee proposed a generalized specification of the model. This paper investigates the implications of the generalized return-generating model developed by Jensen and Lee.

Keywords: Jensen portfolio performance measure, return-generating model

Suggested Citation

Fabozzi, Frank J. and Francis, Jack Clark and Lee, Cheng-Few, Generalized Functional Form for Mutual Fund Returns (March 30, 1980). JOURNAL OF FINANCIAL & QUANTITATIVE ANALYSIS, 1980 December, XV(5), pages 1107-1120, Available at SSRN: https://ssrn.com/abstract=2587446

Frank J. Fabozzi

EDHEC Business School ( email )

France
215 598-8924 (Phone)

Jack Clark Francis (Contact Author)

Zicklin School of Business, Baruch College ( email )

One Bernard Baruch Way
New York, NY 10010
United States
646-312-3462 (Phone)

Cheng-Few Lee

Rutgers, The State University of New Jersey - New Brunswick/Piscataway ( email )

94 Rockafeller Road
New Brunswick, NJ 08901
United States

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