A Comparative Simulation Study of Fund Performance Measures

This study critically reviews current fund performance measures. The performance measure derived from the return-based style analysis by Sharpe (1992) is introduced and compared with other regression-based measures. A comparative simulation is set up to test the robustness, accuracy, and efficiency of the measures. The evidence shows that the RBSA measure is superior to other measures. The performance of the simple Jensen measures is sensitive to fund types. More complicated measures, like market-timing measures and multifactor measures show spurious market timing and wrong fund type information.Mutual Fund, Performance Measure, Market-timing, Return-Based Style Analysis