Munich Personal RePEc Archive

Revisiting Mutual Fund Performance Evaluation

Angelidis, Timotheos and Giamouridis, Daniel and Tessaromatis, Nikolaos (2012): Revisiting Mutual Fund Performance Evaluation.

[img]
Preview
PDF
MPRA_paper_36644.pdf

Download (260Kb) | Preview

Abstract

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 introduces biases in the measurement of stock selection and timing components of excess performance. We revisit baseline empirical evidence in mutual fund performance evaluation utilizing stock selection and timing measures that address these biases. 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’ self-reported benchmark in the performance evaluation process.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.