Mutual fund performance and seemingly unrelated assets

• 成果类型: Article
• 署名作者: Pástor, L; Stambaugh, RF
• 署名单位: University of Chicago; University of Pennsylvania; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(02)00064-8
• 发表日期: 2002
• 页码: 315-349
• 关键词: PERFORMANCE EVALUATION; Mutual funds; Bayesian analysis

摘要

Estimates of standard performance measures can be improved by using returns on assets not used to define those measures. Alpha, the intercept in a regression of a fund's return on passive benchmark returns, can be estimated more precisely by using information in returns on nonbenchmark passive assets, whether or not one believes those assets are priced by the benchmarks. A fund's Sharpe ratio can be estimated more precisely by using returns on other assets as well as the fund. New estimates of these performance measures for a large universe of equity mutual funds exhibit substantial differences from the usual estimates. (C) 2002 Elsevier Science B.V. All rights reserved.