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Open Access Publications from the University of California

A Comparison of Measures of Abnormal Performance on a Sample of Monthly Mutual Fund Returns, formerly titled; The Evaluation of Mutual Fund Performance: An Analysis of Monthly Returns

  • Author(s): Grinblatt, Mark
  • et al.

This paper empirically examines the Jensen Measure, the Positive Period Weighting Measure, developed in Grinblatt and Titman (1987a), measures developed from the Treynor-Mazuy (1966) quadratic regression on a sample 179 mutual funds, using a variety of benchmark portfolios. We find that the measures generally yield similar inferences when using the same benchmark and that inferences can vary, even from the same measure, when using different benchmarks. Several benchmarks, developed here, appear to improve upon traditional benchmarks for assessment of fund performance. These superior benchmarks consist of sets of portfolios formed on the basis of securities characteristics. Tests of fund performance that employ fund characteristics, such as net asset value, load, expenses, portfolio turnover, management fee, and past performance are also reported. These potentially more powerful tests suggest that past performance and turnover are positively related to fund performance.

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