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- W2055620474 abstract "Estimates of standard performance measures can be improved by using returns on assets not used to de?ne those measures. Alpha, the intercept in a regression of a fund's return on passive benchmark returns, can be estimated more precisely by using information in returns on non-benchmark passive assets, whether or not one believes those assets are priced by the benchmarks. A fund's Sharpe ratio can be estimated more precisely by using returns on other assets as well as the fund. New estimates of these performance measures for a large universe of equity mutual funds exhibit substantial dierences from the usual estimates." @default.
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- W2055620474 date "2001-01-01" @default.
- W2055620474 modified "2023-09-23" @default.
- W2055620474 title "Mutual Fund Performance and Seemingly Unrelated Assets" @default.
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- W2055620474 doi "https://doi.org/10.2139/ssrn.261117" @default.
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