Measuring mutual fund performance with characteristic-based benchmarks
Measuring mutual fund performance with characteristic-based benchmarks
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DOI：
10.1111/j.1540-6261.1997.tb02724.x
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发表时间：
1997-07
影响因子：
8
通讯作者：
Kent Daniel;Mark Grinblatt;S. Titman;Russ Wermers
中科院分区：
文献类型：
--
作者：
Kent Daniel;Mark Grinblatt;S. Titman;Russ Wermers
本文开发并应用了基于被评估的投资组合所持有的股票特征的基准来衡量投资组合绩效的新措施。具体来说，基准是根据125个被动投资组合的回报构建的，这些投资组合与被评估投资组合中持有的股票相匹配，基于这些股票的标记资本化、账面市值比和上一年度的回报特征。基于这些基准，“特征时机”和“特征选择性”指标被开发出来，分别检测投资组合经理是否成功地根据这些特征确定其投资组合权重，以及经理是否能够选择表现优于具有相同特征的平均股票的股票。作者将这些措施应用于一个新的共同基金持股数据库，该数据库涵盖了1975年至1994年期间超过2500只股票基金。他们的研究结果表明，共同基金，特别是积极增长的基金，表现出一定的选择性能力，但这些基金没有表现出特有的择时能力。合著者是Mark Grinblatt， Sheridan Titman和Russ Wermers。版权归美国金融协会所有。
This article develops and applies new measures of portfolio performance which use benchmarks based on the characteristics of stocks held by the portfolios that are evaluated. Specifically, the benchmarks are constructed from the returns of 125 passive portfolios that are matched with stocks held in the evaluated portfolio on the basis of the marked capitalization, book-to-market, and prior-year return characteristics of those stocks. Based on these benchmarks, 'Characteristic Timing' and 'Characteristic Selectivity' measures are developed that detect, respectively, whether portfolio managers successfully time their portfolio weightings on these characteristics and whether managers can select stocks that outperform the average stock having the same characteristics. The authors apply these measures to a new database of mutual fund holdings covering over 2500 equity funds from 1975 to 1994. Their results show that mutual funds, particularly aggressive-growth funds, exhibit some selectivity ability, but that funds exhibit no characteristic timing ability. Coauthors are Mark Grinblatt, Sheridan Titman, and Russ Wermers. Copyright 1997 by American Finance Association.