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A Comparative Simulation Study of Fund Performance Measures


  • Zhangpeng Gao

    (Nanyang Technological University, Singapore)

  • Shahidur Rahman

    (Division of Economics,School of Humanities and Social Sciences, Nanyang Technological University, Singapore)


This study critically reviews current fund performance measures. The performance measure derived from the return-based style analysis by Sharpe (1992) is introduced and compared with other regression-based measures. A comparative simulation is set up to test the robustness, accuracy, and efficiency of the measures. The evidence shows that the RBSA measure is superior to other measures. The performance of the simple Jensen measures is sensitive to fund types. More complicated measures, like market-timing measures and multifactor measures show spurious market timing and wrong fund type information.

Suggested Citation

  • Zhangpeng Gao & Shahidur Rahman, 2006. "A Comparative Simulation Study of Fund Performance Measures," Economic Growth Centre Working Paper Series 0604, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
  • Handle: RePEc:nan:wpaper:0604

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    More about this item


    Mutual Fund; Performance Measure; Market-timing; Return-Based Style Analysis;
    All these keywords.

    JEL classification:

    • G0 - Financial Economics - - General
    • G1 - Financial Economics - - General Financial Markets
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • D4 - Microeconomics - - Market Structure, Pricing, and Design


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