A Comparative Simulation Study of Fund Performance Measures

10.6292/AFPF.2015.06.05

Shafiqur Rahman；Shahidur Rahman；Zhangpeng Gao

Managed Funds ； Performance Measure ； Market-Timing ； Return-Based Style Analysis

Advances in Financial Planning and Forecasting

6期（2015 / 02 / 01）

115 - 136

英文

This study critically reviews current fund performance measures. The performance measure derived from the return-based style analysis (RBSA) by Sharpe (1992) is introduced and compared with other regression-based measures. A comparative simulation is set up to test the robustness, accuracy, and efficiency of the alternative measures. The evidence shows that the RBSA measure is superior to other measures. The performance of the simple Jensen measures is sensitive to fund types. More complicated measures, like markettiming measures and multifactor measures show spurious market timing and wrong fund type information.

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