A Review of the Performance Measurement of Long-Term Mutual Funds

Elton, Edwin J.; Gruber, Martin J.

doi:10.1080/0015198x.2020.1738126

Cited by 33 publications

(9 citation statements)

References 67 publications

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“…After consideration, it is decided that a total of 17 indexes that are wildly used in the literature should be selected to compare with that of our proposed method, including 11 risk adjusted return based performance measures including SR, DSR, ASR, TR, IR, JA, MJA, OSR, SoR, CR, and BR (see Ornelas et al, 2012 for details), 2 indicators reflecting timing ability including HM and TM coefficients (see Elton & Gruber, 2020 for details), SCT to test performance persistence (Cogneau & Hübner, 2009), and 3 commonly used multi-index ranking methods including SM, PCA, and TOPSIS (see Chang et al, 2010 for details). In addition, the proposed paired competition based mutual fund comprehensive ranking method is abbreviated as PC here.…”

Section: Resultsmentioning

confidence: 99%

“…The size of the trade round the world has created the selection of funds analysis and ranking ways of key importance (Almeida et al, 2020; Fulkerson & Hong, 2021; Kutan, 2018). For example, mutual funds were of key importance to the USA capitalist and three-fourths people families closely held mutual funds (Elton & Gruber, 2020). However, investors are faced with difficulties in choosing a mutual fund among hundreds and thousands of equity funds or bond funds.…”

Section: Introductionmentioning

confidence: 99%

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A Comprehensive Method for Ranking Mutual Fund Performance

Yuan

2023

Sage Open

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The increasing guidance requirement in choosing mutual funds contribute to the development of an abundant literature on approaches of ranking funds performance. However, all the commonly used single index and multi-indexes ranking methodologies have their own drawbacks and are in fact not suitable for a reasonable and practical mutual funds comprehensive ranking sometimes. More specifically, the single index measures are incomprehensive, controversial, or even ineffective sometimes, while the mostly used multi-indexes methods do not make full use of evaluation information and usually indirect and inflexible in reality. This paper proposes a paired competition based mutual fund multi-indexes comprehensive performance ranking method which could avoid most of the shortcomings of existing approaches with six good characteristics: it is a comprehensive ranking method that reflects different performance aspects; it provides both cardinal and ordinal information for various practical applications; it integrates both individual evaluation information and joint comparison information for obtaining a more accurate and robust ranking scheme; it has a flexible framework to process complicated data situation; it reveals true strength of fund without distortion; it is convenient to operate in practice. In addition, a more reasonable objective weighted method is proposed to deal with the indexes correlation problems.

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Section: Resultsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

A Comprehensive Method for Ranking Mutual Fund Performance

Yuan

2023

Sage Open

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“…There is no consensus in the academic literature on a particular method of measuring and reporting portfolio performance (see, e.g., Elton and Gruber, 2020, for a recent review of the relevant literature). Therefore, we emphasize the importance of using alternative approaches, methods, models, and specifications.…”

Section: Performance-evaluation Measuresmentioning

confidence: 99%

A Review of the Active Management of Norway's Government Pension Fund Global

2022

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“…Later, Carhart (1997) further refined this issue by introducing the notion of return persistence, which studies whether the funds can keep their good track record over significant periods. Good entry points to the literature on mutual fund performance are Cuthbertson et al (2010) and Elton & Gruber (2020).…”

Section: Literature Reviewmentioning

confidence: 99%

“…The mutual fund industry in the U.S. is significantly larger than in any other region or country, accounting for almost half of global assets under management. It is also one of the vital investment vehicles for a typical U.S. family: in 2018, more than 43% of households held mutual fund investment units (Elton & Gruber, 2020). Therefore, it is not surprising that the vast majority of research focuses on U.S. mutual funds and their performance measures.…”

Section: Introductionmentioning

confidence: 99%

Mutual fund performance: Some recent evidence from European equity funds

Božović

2021

EKON ANAL

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This paper studies the performance of mutual funds that specialise in equity investment. We use a sample of the top sixteen actively managed European equity funds operating in the United States between July 1990 and November 2020. Using standard factor models, we show that none of our sample funds generated a positive and significant alpha. The observed funds could not outperform a simple passive strategy that involves tradeable European benchmark portfolios in the longer run. As a rule, the funds in our sample did not exploit the known asset pricing anomalies.

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A Review of the Performance Measurement of Long-Term Mutual Funds

Cited by 33 publications

References 67 publications

A Comprehensive Method for Ranking Mutual Fund Performance

A Comprehensive Method for Ranking Mutual Fund Performance

A Review of the Active Management of Norway's Government Pension Fund Global

Mutual fund performance: Some recent evidence from European equity funds

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