Journal article
Conditional Benchmarks and Predictors of Mutual Fund Performance
Critical finance review, Vol.7(2), pp.331-372
01/01/2018
DOI: 10.1561/104.00000062
Abstract
Recent studies link mutual fund performance to measures of active management, and this evidence often takes the form of large spreads in unconditional alphas for characteristic-sorted portfolios. Unconditional benchmarks can, however, produce misleading inferences on managerial skill for strategies that exhibit substantial turnover and unstable factor exposures. We propose a performance attribution model that accounts for predictable changes in portfolio style. Compared to existing methods, our benchmarks yield superior tracking performance and a more powerful statistical assessment of abnormal returns. We re-evaluate six active management proxies using our method and conclude that these measures are largely unrelated to managerial ability.
Details
- Title: Subtitle
- Conditional Benchmarks and Predictors of Mutual Fund Performance
- Creators
- Scott Cederburg - University of ArizonaMichael S. O'Doherty - University of MissouriN. E. Savin - University of IowaAshish Tiwari - University of Iowa
- Resource Type
- Journal article
- Publication Details
- Critical finance review, Vol.7(2), pp.331-372
- Publisher
- Now Publishers
- DOI
- 10.1561/104.00000062
- ISSN
- 2164-5744
- eISSN
- 2164-5760
- Number of pages
- 42
- Language
- English
- Date published
- 01/01/2018
- Academic Unit
- Finance; Economics
- Record Identifier
- 9984380494702771
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