Mutual Fund Performance and Seemingly Unrelated Assets

44 Pages Posted: 27 Feb 2001

See all articles by Lubos Pastor

Lubos Pastor

University of Chicago - Booth School of Business; Centre for Economic Policy Research (CEPR); National Bureau of Economic Research (NBER)

Robert F. Stambaugh

University of Pennsylvania - The Wharton School; National Bureau of Economic Research (NBER)

Multiple version iconThere are 2 versions of this paper

Date Written: April 2001

Abstract

Estimates of standard performance measures can be improved by using returns on assets not used to de?ne those measures. Alpha, the intercept in a regression of a fund's return on passive benchmark returns, can be estimated more precisely by using information in returns on non-benchmark passive assets, whether or not one believes those assets are priced by the benchmarks. A fund's Sharpe ratio can be estimated more precisely by using returns on other assets as well as the fund. New estimates of these performance measures for a large universe of equity mutual funds exhibit substantial dierences from the usual estimates.

Keywords: Performance evaluation; Mutual funds; Bayesian analysis

Suggested Citation

Pastor, Lubos and Stambaugh, Robert F., Mutual Fund Performance and Seemingly Unrelated Assets (April 2001). CRSP Working Paper No. 527. Available at SSRN: https://ssrn.com/abstract=261117 or http://dx.doi.org/10.2139/ssrn.261117

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Centre for Economic Policy Research (CEPR)

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National Bureau of Economic Research (NBER)

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Robert F. Stambaugh

University of Pennsylvania - The Wharton School ( email )

The Wharton School, Finance Department
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United States
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215-898-6200 (Fax)

National Bureau of Economic Research (NBER)

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