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• W1959891472 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 results in different measurement of stock selection and timing components of excess performance. We revisit baseline empirical evidence fund performance evaluation utilizing stock selection and timing measures that incorporate the self-reported benchmark. 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 misstating skill because they ignore the managers’ self-reported benchmark in the performance evaluation process." @default.
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• W1959891472 date "2012-01-01" @default.
• W1959891472 modified "2023-09-28" @default.
• W1959891472 title "Revisiting Mutual Fund Performance Evaluation" @default.
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• W1959891472 doi "https://doi.org/10.2139/ssrn.2004306" @default.
• W1959891472 hasPublicationYear "2012" @default.
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