Evaluating Mutual Fund Performance
Preprint
- 1 January 1998
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
We study standard mutual fund performance measures, using simulation procedures combined with random and random-stratified samples of NYSE and AMEX securities.Keywords
This publication has 12 references indexed in Scilit:
- On Persistence in Mutual Fund PerformanceThe Journal of Finance, 1997
- Portfolio Performance Measurement: Theory and ApplicationsThe Review of Financial Studies, 1996
- Performance PersistenceThe Journal of Finance, 1995
- Efficiency with Costly Information: A Reinterpretation of Evidence from Managed PortfoliosThe Review of Financial Studies, 1993
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix EstimationEconometrica, 1991
- Economic Significance of Predictable Variations in Stock Index ReturnsThe Journal of Finance, 1989
- The Analytics of Performance Measurement Using a Security Market LineThe Journal of Finance, 1985
- Differential Information and Performance Measurement Using a Security Market LineThe Journal of Finance, 1985
- Measuring Investment Performance in a Rational Expectations Equilibrium ModelThe Journal of Business, 1985
- The relationship between return and market value of common stocksJournal of Financial Economics, 1981