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Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings

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  • Mark Grinblatt
  • Sheridan Titman

Abstract

This article employs the 1975-84 quarterly holdings of a sample of mutual funds to construct an estimate of their gross returns. This sample, which is not subject to survivorship bias, is used in conjunction with a sample that contains the actual (net) returns of the mutual funds. In addition to allowing the authors to estimate the bias in measured performance that is due to the survival requirement and to estimate total transaction costs, the sample is used to test for the existence of abnormal performance. The tests indicate that the risk-adjusted gross returns of some funds were significantly positive. Copyright 1989 by the University of Chicago.

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Paper provided by Wharton School Rodney L. White Center for Financial Research in its series Rodney L. White Center for Financial Research Working Papers with number 23-88.

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Handle: RePEc:fth:pennfi:23-88

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