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Measuring Fund Strategy and Performance in Changing Economic Conditions

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  • Ferson, Wayne E
  • Schadt, Rudi W
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    Abstract

    The use of predetermined variables to represent public information and time-variation has produced new insights about asset pricing models but the literature on mutual fund performance has not exploited these insights. This paper advocates conditional performance evaluation in which the relevant expectations are conditioned on public information variables. The authors modify several classical performance measures to this end and find that the predetermined variables are both statistically and economically significant. Conditioning on public information controls for biases in traditional market timing models and makes the average performance of the mutual funds in the authors' sample look better. Copyright 1996 by American Finance Association.

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    Bibliographic Info

    Article provided by American Finance Association in its journal Journal of Finance.

    Volume (Year): 51 (1996)
    Issue (Month): 2 (June)
    Pages: 425-61

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    Handle: RePEc:bla:jfinan:v:51:y:1996:i:2:p:425-61

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    1. Absolute Return
      by BEN LORICA in The practical quant on 2010-05-11 15:30:00
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