This chapter provides a perspective on the rapidly developing literature on investmentperformance evaluation. I use the stochastic discount factor approach to present andcritique current performance measurement techniques in a unified setting. I offer anumber of suggestions to improve performance measurement in future research. I alsoreview recent research on the performance of ...

Should individuals include actively managed mutual funds in their investment portfolios? They should if and only if the result of active management is superior performance due to skill. This paper employs a previously ignored statistical technique to detect whether skill drives the superior performance of some mutual funds. This technique, the generalized binomial distribution, models a sequenc...

H alf of all of U.S. households own shares in one or more mutual funds, either directly or through personal or employer-sponsored retirement accounts. The growth in mutual fund investment has been dramatic. At the end of World War II, there were 73 mutual funds registered with the Securities and Exchange Commission holding $1.2 billion in assets (Investment Company Institute, 2003). By the end ...

One of the main functionalities of capital market is to improve liquidityin the market which provides security for the investors. Mutual funds aremodern financial institutions which are designed with the aim of collectingfunds from investors and devote them to buy a variety of securities inorder to mitigate investment risks, exploit the economies of scale andfinally create a reasonable return f...

We study the use of stochastic discount factor (SDF) models in evaluating the investment performance of portfolio managers. By constructing artificial mutual funds with known levels of investment ability, we evaluate a large set of SDF models. We find that the measures of performance are not highly sensitive to the SDF model, and that most of the models have a mild negative bias when performanc...

appropriate function of active management in common investment funds function depend on factors such as diversification, identification papers unrealistic pricing, market timing, and so on. market timing are include changing the portfolio investment funds and market indices such as short-term bonds and make an asset depends on whether the market is expected in the whole of the assets to make be...

This paper provides both theoretical and empirical analyses of market participants’ optimal decision-making in trading Japanese equity mutual funds. First, we build an intertemporal decision-making model under uncertainty in the presence of transaction costs. This setting enables us to shed light on the investors’ option to delay investment. A comparative analysis shows that an increase in unce...

Defined contribution plans, predominantly 401(k)s, are the primary source of personal retirement savings for American workers, making the investment decisions within these accounts a salient policy concern. These decisions are a result of two separate actions: the mutual fund options selected by the employer’s plan administrator and the specific funds chosen by the participant. While considerab...