CHARACTERISTICS

This paper examines the sensitivity of various measures of portfolio performance using various return-based linear benchmark models in both their unconditional and conditional versions for a sample of Canadian equity mutual funds over the period, 1989-1999. In a departure from the current literature, performance inferences are based on tests that incorporate the contemporaneous cross-correlations across fund returns. The performance inferences are sensitive to the choice of the linear benchmark model. Conditioning has a more pronounced impact on absolute than on relative performance inferences. Risk-adjusted performance is related with the age and size of a fund and its management fees, and to a lesser extent with the fund’s management expense ratio. These identified relationships suggest important differences and similarities between the availability of scale economies and levels of competition in the Canadian versus the American and European mutual fund industries