Revisiting Mutual Fund Performance Evaluation

Timotheos Angelidis, Daniel Giamouridis, Nikolaos Tessaromatis: Mutual fund manager excess performance should be measured relative to their self-reported benchmark rather than the return of a passive portfolio with the same risk characteristics.

Author(s):

Timotheos Angelidis

Daniel Giamouridis

EDHEC Business School

Nikolaos Tessaromatis

EDHEC Business School

Ignoring the self-reported benchmark results in different measurement of stock selection and timing components of excess performance. We revisit baseline empirical evidence in mutual fund performance evaluation utilising stock selection and timing measures that incorporate the self-reported benchmark. We introduce a new factor exposure based approach for measuring the – static and dynamic – timing capabilities of mutual fund managers. We overall conclude that current studies are likely to be overstating lack of skill because they ignore the managers’ selfreported benchmark in the performance evaluation process.
Pdf
Revisiting Mutual Fund Performance Evaluation...
(-1.00 B)
Type: Working paper
Date: le 06/02/2012
Extra information : For more information, please contact EDHEC Research and Development Department [ research@drd.edhec.edu ]
Research Cluster : Finance

See Also

EDHEC-Risk and Swiss Life AM France set up a research chair to analyse the role of real estate in investment solutions
News
- 17-10-2018
Swiss Life Asset Managers France and EDHEC-Risk Institute have announced the creation...
Lionel Martellini speaking on the application of goal-based investing to retirement strategies at the TrackInsight European Summit in Paris on Nov 7
News
- 16-10-2018
Lionel Martellini, Professor of Finance, EDHEC Business School and Director, EDHEC-Risk...
The EDHEC Executive MBA rises six places in the Financial Times global ranking 2018
News
- 15-10-2018
The Financial Times published today its latest ranking of top Executive MBA programmes...
News
- 11-10-2018
The EDHEC Family Business Centre and Tharawat Family Business Forum, with the...