Evaluating Mutual Fund Performance  

Oleh:

Warner, Jerold B. ; Kothari, S.P.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 5 (2001), page 1985-2010.
Topik: mutual funds performance; mutual funds; rates of return; simulation; portfolio management; studies; statistical analysis
Fulltext: p 1985.pdf (132.4KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.4 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We study standard mutual fund performance measures, using simulated funds whose characteristics mimic actual funds. We find that performance measures used in previous mutual fund research have little ability to detect economically large magnitudes (e. g. three percent per year) of abnormal fund performance, particularly if a fund's style characteristics differ from those of the value - weighted market protfolio. Power can be substantially improved, however, using event - study procedures that analyze a fund's stock trades. These procedures are feasible using time - series data sets on mutual fund portfolio holdings.

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