Jensen developed a well-known portfolio performance evaluation measure. Subsequently, Jensen formulated a return-generating model to measure portfolio performance. Lee proposed a generalized specification of the model. This paper investigates the implications of the generalized return-generating...

The single-index market model is estimated with market returns from mutual funds. Binary variables are used to determine if the beta coefficients increase during bull markets. If the mutual fund beta coefficients increase during bull markets, for example, this increase indicates the portfolio...