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A Study of Monthly Mutual Fund Returns and Performance Evaluation Techniques

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Author Info
Grinblatt, Mark
Titman, Sheridan

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Abstract

This paper empirically contrasts the Jensen Measure, the Positive Period Weighting Measure, developed in Grinblatt and Titman (1989b), and a measure developed from the Treynor-Mazuy (1966) quadratic regression on a sample of 279 mutual funds and 109 passive portfolios, using a variety of benchmark portfolios. The study finds that the measures generally yield similar inferences when using the same benchmark and that inferences can vary, even from the same measure, when using different benchmarks. This paper also analyzes the determinants of mutual fund performance. Tests of fund performance that employ fund characteristics, such as net asset value, load, expenses, portfolio turnover, and management fee are reported. These tests surprisingly suggest that turnover is significantly positively related to the ability of fund managers to earn abnormal returns.

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Publisher Info
Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 29 (1994)
Issue (Month): 03 (September)
Pages: 419-444
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:jfinqa:v:29:y:1994:i:03:p:419-444_00

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  2. A. Sancetta & Satchell, S.E., 2002. "New Test Statistics for Market Timing with Application to Emerging markets," Cambridge Working Papers in Economics 0222, Faculty of Economics, University of Cambridge. [Downloadable!]
  3. Christensen, Michael, 2005. "Danish Mutual Fund Performance - Selectivity, Market Timing and Persistence," Finance Research Group Working Papers F-2005-01, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
  4. Jonathan Fletcher & David Forbes, 2002. "U.K. Unit Trust Performance: Does it Matter Which Benchmark or Measure is Used?," Journal of Financial Services Research, Springer, vol. 21(3), pages 195-218, June. [Downloadable!] (restricted)
  5. Louis K. C. Chan & Jason Karceski & Josef Lakonishok, 1997. "The Risk and Return from Factors," NBER Working Papers 6098, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  6. Anandi Sahu & Robert Kleiman & Joseph Callaghan, 1998. "The Timing and Stock Selection Abilities of Bank Funds: Evidence Based on Meta-Analysis," Journal of Financial Services Research, Springer, vol. 13(2), pages 137-152, April. [Downloadable!] (restricted)
  7. Luis Ferruz Agudo & María Vargas Magallón & José L. Sarto, 2006. "Evaluation of performance and conditional information: the case of Spanish mutual funds," Applied Financial Economics, Taylor and Francis Journals, vol. 16(11), pages 803-817, July. [Downloadable!] (restricted)
  8. J. Annaert & J.K. De Ceuster & W. Van Hyfte, 2002. "The Value of Asset Allocation Advice - Evidence of The Economist’s Quarterly Portfolio Poll," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 02/160, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
  9. Loriana Pelizzon & Roberto Casarin & Andrea Piva, 2008. "Italian Equity Funds: Efficiency and Performance Persistence," Working Papers 2008_12, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
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  10. Keith Cuthbertson & Dirk Nitzsche & Niall O' Sullivan, 2004. "UK Mutual Fund Performance: Genuine Stock-Picking Ability or Luck," Money Macro and Finance (MMF) Research Group Conference 2004 55, Money Macro and Finance Research Group. [Downloadable!]
  11. Alessio Sancetta & Stephen Satchell, 2005. "New test statistics for market timing with applications to emerging markets hedge funds," European Journal of Finance, Taylor and Francis Journals, vol. 11(5), pages 419-443, October. [Downloadable!] (restricted)
  12. Martin T. Bohl, Judith Lischewski and Svitlana Voronkova, 2008. "Does Regulation Hurt Pension Funds' Performance? Evidence from Strongly Regulated Pension Fund Industries," The Institute for International Integration Studies Discussion Paper Series iiisdp247, IIIS. [Downloadable!]
  13. Terrance Odean., 1996. "Volume, Volatility, Price and Profit When All Trader Are Above Average," Research Program in Finance Working Papers RPF-266, University of California at Berkeley. [Downloadable!]
  14. Terrance Odean, 1998. "Volume, Volatility, Price and Profit When All Traders Are Above Average," Finance 9803001, EconWPA. [Downloadable!]
  15. Riccardo Cesari & Fabio Panetta, 1998. "Style, Fees and Performance of Italian Equity Funds," Temi di discussione (Economic working papers) 325, Bank of Italy, Economic Research Department. [Downloadable!]
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  16. Christensen, Michael, 2003. "Evaluating Danish Mutual Fund Performance," Finance Working Papers 03-4, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
  17. Miguel Martínez Sedano, 2003. "Legal constraints, transaction costs and the evaluation of mutual funds," European Journal of Finance, Taylor and Francis Journals, vol. 9(3), pages 199-218, June. [Downloadable!] (restricted)
  18. Knittel, Christopher & Heisler, Jeffrey & Neumann, John J. & Stewart, Scott, 2004. "Why Do Institutional Plan Sponsors Hire and Fire Their Investment Managers?," Working Papers 05-27, University of California at Davis, Department of Economics. [Downloadable!]
  19. Mark Grinblatt & Tobias Moskowitz, 1999. "The Cross Section of Expected Returns and its Relation to Past Returns: New Evidence," University of California at Los Angeles, Anderson Graduate School of Management 1100, Anderson Graduate School of Management, UCLA. [Downloadable!]
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  20. Fabrice Hervé, 2006. "Les fonds de pension protègent-ils les investisseurs des évolutions du marché?," Working Papers FARGO 1060101, Université de Bourgogne - Latec/Fargo (Research center in Finance,organizational ARchitecture and GOvernance). [Downloadable!]
  21. Farah, N. & Satchell, S.E., 2003. "A Loss Aversion Performance Measure," Cambridge Working Papers in Economics 0333, Faculty of Economics, University of Cambridge. [Downloadable!]
  22. Piet Eichholtz & Hans Op t Veld & Mark Schweitzer, . "Outperformance: Does Managerial Specialization Pay?," Center for Financial Institutions Working Papers 97-31, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  23. Joel Owen & Ramón Rabinovitch, 1999. "Ranking Portfolio Performance: An Application of a Joint Means and Variances Equality Test," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 97-130, May. [Downloadable!]
  24. Silvia Bou, 2006. "El riesgo y las estrategias en la evaluacion de los fondos de inversion de renta variable," Working Papers 200603, Department of Business Economics, Universitat Autonoma de Barcelona. [Downloadable!]
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