TAILIEUCHUNG - Mutual Fung Performance: An Analysis Of Quarterly Portfolio Holdings

This paper provides a review of the methods for measuring portfo- lio performance and the evidence on the performance of profession- ally managed investment portfolios. Traditional performance measures, strongly influenced by the Capital Asset Pricing Model of Sharpe (1964), were developed prior to 1990. We discuss some of the prop- erties and important problems associated with these measures. We then review the more recent Conditional Performance Evaluation tech- niques, designed to allow for expected returns and risks that may vary over time, and thus addressing one major shortcoming of the traditional measures. We also discuss weight-based performance measures and the stochastic discount factor approach. . | MUTUAL FUND PERFORMANCE AN ANALYSIS OF QUARTERLY PORTFOLIO HOLDINGS by Mark Grinblatt and Sheridan Titman 23-88 RODNEY L. WHITE CENTER FOR FINANCIAL RESEARCH The Wharton School University of Pennsylvania Philadelphia PA 19104-6367 The contents of this paper are the sole responsibility of the author s . RODNEY L. WHITE CENTER FOR FINANCIAL RESEARCH MUTUAL FUND PERFORMANCE AN ANALYSIS OF QUARTERLY PORTFOLIO HOLDINGS by Mark Grinblatt and Sheridan Titman University of California Los Angeles Anderson Graduate School of Management Los Angeles CA 90024 Revised August 1988 Comments Welcome 215-898-4184 We wish to thank Jim Brandon Pierre Hillion and Erik Sirri for excellent research assistance. UCLA and the Wharton School of the University of Pennsylvania 2300 Steinberg-Dietrich Hall Philadelphia PA 19104-6367. UCLA Anderson Graduate School of Management Los Angeles CA 90024 ABSTRACT MUTUAL FUND PERFORMANCE AN ANALYSIS OF QUARTERLY HOLDINGS Previous studies of mutual fund performance have analyzed the net returns of funds which have fees expenses and other transaction costs subtracted from them or have added an estimate of transaction costs to the net returns to obtain an estimate of gross returns. In addition these studies analyzed samples that were subject to survivorship bias. This paper employs the quarterly portfolio holdings of a large sample of mutual funds to construct an alternative estimate of gross returns. This sample which is not subject to survivorship bias is used in conjunction with a sample that contains the actual net returns of the mutual funds which is subject to survival bias. In addition to allowing us to estimate the bias in measured performance that is due to the survival requirement less than per year for the average fund and total transaction costs about per year the sample is used to test for the existence of abnormal performance. The tests Indicate that the risk-adjusted gross returns of some funds were significantly positive in the .

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