The mutual fund industry has experienced huge growth internationally, becoming one of the primary vehicles through which individuals and most institutions invest in capital markets. Thus, the evaluation of the performance of mutual funds has become a very interesting research topic both for...

A common misconception in finance is that investors who believe in an efficient market will not invest with an active fund manager. In this paper I develop a model of active money management in which both the investor and the fund manager believe that the market is efficient and that all assets...

I find that the risk correction in the Daniel et al. (1997) (DGTW) benchmarks is less than perfect. In light of the small 79bps selection skill DGTW find, a more precise risk measure is required. I use the utility based performance measure suggested by Goetzmann et al. (2007) (MPPM) and compare...

The portfolio performance evaluation involves the determination of how a managed portfolio has performed relative to some comparison benchmark. Performance evaluation methods generally fall into two categories, namely conventional and risk-adjusted methods. The most widely used conventional...

This research studies mutual fund performance in three selected Asian countries — China, Singapore and Thailand — for twelve years during 2000 to 2011 to determine whether any equity mutual funds significantly outperformed, or beat the market. The study begins with direct and simple...