What question did this study set out to answer?

To evaluate mutual fund investment performance and strategies by incorporating time-varying public economic information into classical benchmark models.

June 1, 1996The Journal of Finance

Measuring Fund Strategy and Performance in Changing Economic Conditions

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Authors

WFWayne E. FersonUniversity of Southern California RSRudi SchadtJohn Brown University

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Implication

Econometric evaluation reveals conditional performance metrics remove market timing biases in mutual funds, indicating that public economic data improves measured fund returns.

Key Points

To evaluate mutual fund investment performance and strategies by incorporating time-varying public economic information into classical benchmark models.
Constructed a conditional performance evaluation framework by conditioning expected returns on predetermined public information variables.
Modified several classical mutual fund performance and market timing models to reflect dynamic macroeconomic conditions.
Predetermined public information variables were statistically and economically significant when modeling fund performance.
Conditioning on public information controlled for systematic biases present in traditional unconditional market timing models.
Accounting for time-varying economic conditions improved the measured average performance of mutual funds across the sample.

Cite This Study

Ferson et al. (1996) studied this question.

synapsesocial.com/papers/6a0fe62dd8c5cf602efd50f6 https://doi.org/10.1111/j.1540-6261.1996.tb02690.x

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Implication

Econometric evaluation reveals conditional performance metrics remove market timing biases in mutual funds, indicating that public economic data improves measured fund returns.

Measuring Fund Strategy and Performance in Changing Economic Conditions

Discussion

Member takes

Implication

Key Points

Cite This Study

Measuring Fund Strategy and Performance in Changing Economic Conditions

Discussion

Member takes

Implication

Key Points

Cite This Study

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