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| Tekijä: | Farnsworth, H. (et al.) |
| Otsikko: | Performance evaluation with stochastic discount factors |
| Lehti: | Journal of Business
2002 : JUL, VOL. 75:3, p. 473-503 |
| Asiasana: | Stochastic processes Performance appraisal |
| Vapaa asiasana: | Mutual funds Stochastic discount factor |
| Kieli: | eng |
| Tiivistelmä: | The authors study stochastic discount factor models for evaluating investment performance. Constructing artificial funds with known levels of ability, they find that the measures of performance are not highly sensitive to the SDF model. They evaluate a sample of U.S. equity mutual funds. Adjusting for the observed bias, the average mutual fund has enough ability to cover transactions costs. Extreme funds are more likely to have good rather than poor risk-adjusted performance. |
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