How to measure mutual fund performance: economic versus statistical relevance

Otten, Rogér; Bams, Dennis

doi:10.1111/j.1467-629x.2004.00105.x

Cited by 57 publications

(46 citation statements)

References 22 publications

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“…For instance, French (1993, 1996) add proxies for size and book-to-market, while Carhart (1997) introduces a stock-momentum variable. This acknowledges the fact that fund managers change their portfolios over time, based on observable information variables (Otten and Bams 2004).…”

Section: Introductionmentioning

confidence: 99%

An empirical analysis of the performance of pension funds: evidence from UK

Adami

Gough

Mukherjee

et al. 2014

Studies in Economics and Finance

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Purpose – This paper aims to examine the investment performance of pension funds in the UK using the three standard performance measurement models, the capital asset pricing model (CAPM), Fama-French model and the Carhart model. Design/methodology/approach – The authors use the CAPS-Mellon survey data for the period 1990-2008 and employ the three standard performance measurement models, the CAPM, Fama-French model and the Carhart model in assessing the investment performance of the pension funds. Findings – The authors show that the abnormal returns of pension funds cannot be fully explained by size, book-to-market values, market returns, momentum and the term spread. The authors find larger abnormal returns in bond than in equity portfolios and that smaller funds outperform larger funds. The paper also shows that the addition of the momentum factor does not improve on the three-factor Fama-French model. The authors find that pension funds exhibit superior performance relative to the linear factor models. Research limitations/implications – First, this study contributes to the extant literature on pension funds performance. Future research may also extend the authors' work to incorporate economic, tax, political and legal differences across the countries on the performance of pension funds. Second, due to data constraints, this study excludes the default probability of corporate bonds as an additional variable in their tests on bond returns. Future work may add the default probability as an additional variable whilst examining bond returns. Practical implications – The authors believe that the findings will be considerable food for thought for fund managers who continuously attempt to explore opportunities to provide a higher return to investors. Originality/value – To the authors' knowledge, this is the first comprehensive study that investigates the performance of UK equity and bond pension funds relative to standard linear factor models such as the CAPM, Fama and French, and Carhart.

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Section: Introductionmentioning

confidence: 99%

An empirical analysis of the performance of pension funds: evidence from UK

Adami

Gough

Mukherjee

et al. 2014

Studies in Economics and Finance

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“…Metode ini biasa juga disebut dengan pengukuran kinerja dengan conditional models. Peneliti yang lain yaitu Otten & Bams (2004) memperkenalkan metode pengukuran yang mereka percaya lebih komprehensif dengan tujuan dapat menyajikan model yang terbaik untuk mengukur kinerja dari reksa dana. Yang mana tahap pertama, menggunakan metode CAPM (basic single factor), yang diikuti dengan pengukuran yang mempertimbangkan variabel lainnya seperti size, book-to-market, momentum dan bond index.…”

Section: Kajian Teoriunclassified

Analisis Kinerja 14 Reksa Dana Saham Terbaik Periode 2010

Sun

2011

Binus Business Review

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“…It is observed from the empirical analysis (see Ferson & Schadt 1996, Ferson &Warther 1996Chen & Knez 1996, Christopherson et al 1998, Christopherson et al 1999, Ferson & Qian 2004) that the conditional measure appears to provide better estimates as compared to the traditional measures. According to the arguments of some studies, it is expected that conditional model may produce better performance estimates and sometime allows the investors to scrutinize the dynamic behavior of the mutual fund managers (Otten & Bams 2004).…”

Section: Literature Reviewmentioning

confidence: 99%

Conditional selectivity performance of Indian mutual fund schemes: An empirical study

Roy¹

2015

10.5267/j.msl

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The present study seeks to examine the stock-selection performance of the sample open-ended equity mutual fund schemes of Birla Sun Life Mutual Fund Company based on traditional and conditional performance measures. It is generally expected that inclusion of some relevant predetermined public information variables in the conditional CAPM provides better performance estimates as compared to the traditional measures. The study reports that after inclusion of conditioning public information variables, the selectivity performances of the schemes have dramatically improved relative to the traditional measure and also found that conditional measure is superior to traditional measure in statistical test.Growing Science Ltd. All rights reserved. 5

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How to measure mutual fund performance: economic versus statistical relevance

Cited by 57 publications

References 22 publications

An empirical analysis of the performance of pension funds: evidence from UK

An empirical analysis of the performance of pension funds: evidence from UK

Analisis Kinerja 14 Reksa Dana Saham Terbaik Periode 2010

Conditional selectivity performance of Indian mutual fund schemes: An empirical study

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