The aggregate portfolio of Chinese actively managed stock mutual funds exhibits a large and significantly positive alpha. Results from bootstrap simulations indicate that most Chinese active stock mutual fund managers have skill. A substantial amount of their outperformance can be attributed to...

In this study we evaluate the performance of actively managed equity mutual funds against a set of passively managed index funds. We find that the return spread between the best performing actively managed funds and a factor-mimicking portfolio of passive funds is positive and as large as 3 to 5...

Professional asset allocators frequently report positive alphas, and the generation of alpha is widely discussed in the context of asset allocation. This paper demonstrates that two-fund asset allocation strategies contain a positive-alpha bias and derives an expression for the alpha of an asset...

Ratios that indicate the statistical significance of a fund's alpha typically appraise its performance. A growing literature suggests that even in the absence of any ability to predict returns, holding options positions on the benchmark assets or trading frequently can significantly enhance...

In this primer, we review the classical methods for assessing the performance of a financial portfolio. The analysis relies on benchmarking the return on the portfolio with that of a peer group. We define and discuss the pros and cons of four performance metrics that are theoretically consistent...

This paper challenges existing studies of mutual fund market timing that find little evidence of timing ability. Using a sample of daily returns for 35 countries, we find that more than a third of mutual funds show significantly positive market timing ability across all countries. We show that...

Funds of hedge funds are diversified investment vehicles that provide investors with diversification either across managers within a specific hedge fund strategy or across a wide range of hedge fund strategies. In this paper, we contrast the performance of funds of hedge funds that diversify...

This paper reviews the main dimensions underlying the selection of a classical portfolio performance measure, namely the Sharpe Ratio, Jensen's alpha, the Modified Jensen's alpha, the Treynor Ratio, and the Information Ratio. We first examine how they differ from each other according to the risk...

This article attempts to measure performance of Type A and Type B funds relative to T-Bill rates and ISE-100 index in Turkey over the period of January 1998-June 2000 using Sharpe ratio, Treynor ratio, Jensen alpha, and Graham&Harvey index. 55 Type A, and 77 Type B Funds were included in the...

Which factor model do investors in corporate bonds use? We examine this question by tracking investors' decisions to invest in actively managed corporate bond mutual funds with a revealed preference approach. Our main result is that all bond factor models are dominated by the simple Sharpe...