A Review of the Performance Measurement of Long-Term Mutual Funds

Edwin J. Elton and Martin J. Gruber

Financial Analysts Journal, 2020, vol. 76, issue 3, 22-37

Abstract: We review the major models of mutual fund performance: (1) using return data to evaluate equity funds—from single to multi-index models, (2) measuring passive portfolio performance, (3) using holdings-based performance measures, (4) measuring timing ability, and (5) measuring bond fund performance. We conclude with a discussion of issues affecting performance measurement: data sources and bias, missing factors, and improvements to benchmarks.Disclosure: The authors report no conflicts of interest.

Date: 2020
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DOI: 10.1080/0015198X.2020.1738126

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