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- W1506746100 abstract "Portfolios of equity mutual funds tend to be equally weighted to a greater degree than they are value weighted according to metrics of fund weightedness developed in this paper. Measures of fund investment performance based solely on a single value-weighted or equally weighted benchmark may therefore not adequately identify significant excess performance. We propose a two-index model using both a value-weighted and an equally weighted index. Estimated models using a sample of 506 mutual funds show that the two-index model provides a better fit than the single-index model and identifies a larger set of funds with abnormal performance." @default.
- W1506746100 created "2016-06-24" @default.
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- W1506746100 date "2000-01-01" @default.
- W1506746100 modified "2023-09-27" @default.
- W1506746100 title "The Effect of Portfolio Weighting on Investment Performance Evaluation: The Case of Actively Managed Mutual Funds" @default.
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- W1506746100 doi "https://doi.org/10.2139/ssrn.218971" @default.
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