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1 May 2020 Financial Analysts Journal Volume 76, Issue 3

A Review of the Performance Measurement of Long-Term Mutual Funds

  1. Edwin J. Elton
  2. Martin J. Gruber

We review the major models of mutual fund performance. We take stock of where we are and consider the future of performance measurement.

We review the major models of mutual fund performance: (1) using return data to evaluate equity funds—from single to multi-index models, (2) measuring passive portfolio performance, (3) using holdings-based performance measures, (4) measuring timing ability, and (5) measuring bond fund performance. We conclude with a discussion of issues affecting performance measurement: data sources and bias, missing factors, and improvements to benchmarks.
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Publisher Information
Routledge doi.org/10.1080/0015198X.2020.1738126 ISSN/ISBN: 0015-198X

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