Performance measurement without benchmarks: an examination of mutual fund returns

Article Abstract:

A new measure of portfolio performance that does not rely on benchmarks is constructed and applied to the evaluation of mutual funds. Conventional performance evaluation techniques use a benchmark portfolio as the standard against which managed portfolio returns are compared. However, revisions in the Event Study Measure proposed by Cornell (1979) allows evaluations based on existing composition information about the evaluated portfolio. Estimates of the covariances between portfolio weights and the subsequent returns of each component asset are obtained using a modified technique and applied to the holdings of 155 mutual funds between 1974-84. Center for Research in Security Prices-listed holdings are found to have obtained positive abnormal returns, with aggressive growth funds exhibiting the strongest performance. Superior performance is also found to be predictable, given its persistence in certain mutual funds.

Investment offices, not elsewhere classified, Mutual funds

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Simple formulas help make investment timing decisions

Article Abstract:

Advice on the timing of investment decisions is presented. Various formulas and methods of working out the potential benefits of selling for short-term or long-term gain are described.

Investment analysis, Securities analysis

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How to reduce risk on your investment portfolio

Article Abstract:

Ways of reducing risk on an investment portfolio are discussed.

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