abstract: We show that multifactor performance estimates for mutual funds suffer from
systematic biases, and argue that these biases are a result of miscalculating the
factor premiums. Because the factor proxies are based on hypothetical stock
portfolios and do not incorporate transaction costs, trade impact, and trading
restrictions, the factor premiums are either over- or underestimated. We argue
that factor proxies based on mutual fund returns rather than stock returns provide
better benchmarks to evaluate professional money managers.
Tag Archives: PR1YR
On the Use of Multifactor Models to Evaluate Mutual Fund Performance
Posted by Serhat Yucel, FRM on July 17, 2011
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Fund Performance measurement
Posted by Serhat Yucel, FRM on July 16, 2011
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A simple presentation on fund performane measurement. Provides some results around the world and Turkey. Calculates fund performance persistence in means of alpha. Also includes some comments related to survivorship bias.
Fund performance-management
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Principles of Quantitative Investment Management
Posted by Serhat Yucel, FRM on July 16, 2011
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here is the presentation of one of my lectures on quantitative investment management. It aims to cover the basics in a simple way. Topics discussed include modern portfolio theory, CAPM, single and multi index models, basic performance indicators, timing analysis
principles of quantitative investment management
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