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Author: | Pastor, L. Stambaugh, R.F. |
Title: | Mutual fund performance and seemingly unrelated assets |
Journal: | Journal of Financial Economics
2002 : MAR, VOL. 63:3, p. 315-349 |
Index terms: | Stock markets Unit trusts Performance appraisal |
Freeterms: | Bayesian analysis |
Language: | eng |
Abstract: | 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. |
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