Nonstationarity and Evaluation of Mutual Fund Performance
提出处理风险收益关系非平稳性的新方法，以更精确估计alpha和beta，并应用于28只共同基金的数据分析其beta变化。
vided an absolute measure of performance which can be used to determine whether mutual funds earn higher or lower returns than those expected for the level of risk associated with their portfolios. McDonald [11] has employed the measures of performance developed by Sharpe, Treynor, and Jensen to evaluate the objectives, risk, and return of mutual funds in the period 1960-1969. Although these studies have examined mutual fund performance, none has employed an analytical framework for dealing explicitly with the nonstationarity which is likely to exist in the risk-return relationships for such funds [13]. If nonstationarity is present in the risk-return relationship and is ig? nored, the resulting estimates of alpha and beta may provide misleading informa? tion. This study presents new procedures for examining risk-return relation? ships in the presence of nonstationarity so that more precise estimates of alpha and beta can be obtained. The procedures are applied to price appreciation data for the market and 28 mutual funds. The information generated by these proce? dures is used to analyze changes in betas for the mutual funds.