How to measure mutual fund performance: economic versus statistical relevance
AbstractIn the present paper a comprehensive assessment of existing mutual fund performance models is presented. Using a survivor-bias free database of all US mutual funds, we explore the added value of introducing extra variables such as size, book-to-market, momentum and a bond index. In addition to that we evaluate the use of introducing time-variation in betas and alpha. The search for the most suitable model to measure mutual fund performance will be addressed along two lines. First, we are interested in the statistical significance of adding more factors to the single factor model. Second, we focus on the economic importance of more elaborate model specifications. The added value of the present study lies both in the step-wise process of identifying relevant factors, and the use of a rich US mutual fund database that was recently released by the Center for Research in Security Prices. Copyright AFAANZ, 2004..
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Bibliographic InfoPaper provided by Maastricht University in its series Open Access publications from Maastricht University with number urn:nbn:nl:ui:27-20510.
Date of creation: 2004
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Publication status: Published in Accounting & finance (2004) v.44, p.203-222
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Other versions of this item:
- Rogér Otten & Dennis Bams, 2004. "How to measure mutual fund performance: economic versus statistical relevance," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 44(2), pages 203-222.
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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