On the Use of Multifactor Models to Evaluate Mutual Fund Performance
نویسندگان
چکیده
منابع مشابه
Evaluating Mutual Fund Performance
We study standard mutual fund performance measures, using simulated funds whose characteristics mimic actual funds. We find that performance measures used in previous mutual fund research have little ability to detect economically large magnitudes ~e.g., three percent per year! of abnormal fund performance, particularly if a fund’s style characteristics differ from those of the value-weighted m...
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ژورنال
عنوان ژورنال: Financial Management
سال: 2009
ISSN: 0046-3892,1755-053X
DOI: 10.1111/j.1755-053x.2009.01029.x