A Comparative Simulation Study of Fund Performance Measures

Zhangpeng Gao and Shahidur Rahman
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Zhangpeng Gao: Nanyang Technological University, Singapore
Shahidur Rahman: Division of Economics,School of Humanities and Social Sciences, Nanyang Technological University, Singapore

No 604, Economic Growth Centre Working Paper Series from Nanyang Technological University, School of Social Sciences, Economic Growth Centre

Abstract: This study critically reviews current fund performance measures. The performance measure derived from the return-based style analysis by Sharpe (1992) is introduced and compared with other regression-based measures. A comparative simulation is set up to test the robustness, accuracy, and efficiency of the measures. The evidence shows that the RBSA measure is superior to other measures. The performance of the simple Jensen measures is sensitive to fund types. More complicated measures, like market-timing measures and multifactor measures show spurious market timing and wrong fund type information.

Keywords: Mutual Fund; Performance Measure; Market-timing; Return-Based Style Analysis (search for similar items in EconPapers)
JEL-codes: C1 D4 G0 G1 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2006-04
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Persistent link: https://EconPapers.repec.org/RePEc:nan:wpaper:0604

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