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Nonstationarity and Evaluation of Mutual Fund Performance

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  • Miller, Tom W.
  • Gressis, Nicholas

Abstract

Several people have attempted to evaluate the performance of mutual funds. Treynor [17] and Sharpe [15] have developed performance measures which make it possible to establish relative rankings for such funds. Treynor and Mazuy [18] have devised a statistical test for determining whether mutual funds successfully anticipate major fluctuations in the stock market. Jensen [7] has provided an absolute measure of performance which can be used to determine whether mutual funds earn higher or lower returns than those expected for the level of risk associated with their portfolios. McDonald [11] has employed the measures of performance developed by Sharpe, Treynor, and Jensen to evaluate the objectives, risk, and return of mutual funds in the period 1960–1969. Although these studies have examined mutual fund performance, none has employed an analytical framework for dealing explicitly with the nonstationarity which is likely to exist in the risk-return relationships for such funds [13].

Suggested Citation

  • Miller, Tom W. & Gressis, Nicholas, 1980. "Nonstationarity and Evaluation of Mutual Fund Performance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(3), pages 639-654, September.
    • Handle: RePEc:cup:jfinqa:v:15:y:1980:i:03:p:639-654_00
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    Cited by:

    1. Roger P. Bey, 1983. "The Market Model As An Appropriate Description Of The Stochastic Process Generating Security Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 6(4), pages 275-288, December.
    2. Monika Mościbrodzka, 2021. "Alternative investment funds – the evaluation of managers’ abilities in the light of the amendments to the Act on Investment Fund," Bank i Kredyt, Narodowy Bank Polski, vol. 52(6), pages 517-544.
    3. Burnett, John E. & Carroll, Carolyn & Thistle, Paul, 1995. "Implications of multiple structural changes in event studies," The Quarterly Review of Economics and Finance, Elsevier, vol. 35(4), pages 467-480.
    4. Michael G. Ferri & H. Dennis Oberhelman & Rodney L. Roenfeldt, 1984. "Market Timing And Mutual Fund Portfolio Composition," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 7(2), pages 143-150, June.
    5. Romacho, Joao Carlos & Cortez, Maria Ceu, 2006. "Timing and selectivity in Portuguese mutual fund performance," Research in International Business and Finance, Elsevier, vol. 20(3), pages 348-368, September.
    6. Rubaj Piotr & Wazna Elzbieta, 2021. "Investment Funds of Emerging Markets as Alternative Forms of Capital Investment in the Conditions of Low Interest Rates," European Research Studies Journal, European Research Studies Journal, vol. 0(2B), pages 290-307.
    7. Carl R. Chen & Steve Stockum, 1986. "Selectivity, Market Timing, And Random Beta Behavior Of Mutual Funds: A Generalized Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(1), pages 87-96, March.
    8. Anjum, Sohail & Qayyum, Unbreen & Qureshi, Madeeha Gohar, 2019. "Aggregate performance evaluation of US Equity Mutual Funds - Explaining the performance of Growth Funds vs. Value Funds," MPRA Paper 100043, University Library of Munich, Germany.

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