Evaluating Mutual Fund Performance
用模拟基金检验标准业绩指标，发现它们难以检测每年3%的异常收益，但基于持仓的事件研究法能显著提高检测能力。
ABSTRACT We study standard mutual fund performance measures, using simulated funds whose characteristics mimic actual funds. We find that performance measures used in previous mutual fund research have little ability to detect economically large magnitudes (e.g., three percent per year) of abnormal fund performance, particularly if a fund's style characteristics differ from those of the value‐weighted market portfolio. Power can be substantially improved, however, using event‐study procedures that analyze a fund's stock trades. These procedures are feasible using time‐series data sets on mutual fund portfolio holdings.