Revisiting mutual fund performance evaluation
Timotheos Angelidis (),
Daniel Giamouridis () and
Journal of Banking & Finance, 2013, vol. 37, issue 5, 1759-1776
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. Ignoring the self-reported benchmark results in different measurement of stock selection and timing components of excess performance. We revisit baseline empirical evidence fund performance evaluation utilizing 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 misstating skill because they ignore the managers’ self-reported benchmark in the performance evaluation process.
Keywords: Mutual funds; Short-term performance; Market timing; Factor timing (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G23 (search for similar items in EconPapers)
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Working Paper: Revisiting Mutual Fund Performance Evaluation (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:37:y:2013:i:5:p:1759-1776
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