Article1985

AN ARBITRAGE PRICING APPROACH TO EVALUATING MUTUAL FUND PERFORMANCE

Eric Chieh C. Chang · Wilbur G. Lewellen

40 citations0/0 files storedThe Journal of Financial Research

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Financial Markets and Investment Strategies Corporate Finance and Governance Financial Analysis and Corporate Governance

Abstract

Abstract A test procedure, derived from arbitrage pricing theory, that permits the measurement of the security selection performance of professional portfolio managers is developed and applied to a sample of mutual funds over the period of the 1970's. The evidence indicates that more than one factor was present in the market during that interval as a systematic influence on the profile of securities returns. Consistent with prior studies, the evidence also suggests that mutual fund portfolios did not outperform a passive buy‐and‐hold investment strategy. A comparative analysis of the same data, using performance measures based on the single‐factor market model, produces similar but less powerful results, both in the aggregate and at the individual fund level.

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References

1976The arbitrage theory of capital asset pricing 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 1980Measuring security price performance 1972Capital Market Equilibrium with Restricted Borrowing 1981Misspecification of capital asset pricing 1980An Empirical Investigation of the Arbitrage Pricing Theory 1974The effects of dividend yield and dividend policy on common stock prices and returns 1969Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios

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1995Determinants of variation in mutual fund returns 1995Chapter 4 The arbitrage pricing theory and multifactor models of asset returns 2002The effect of portfolio weighting on investment performance evaluation: The case of actively managed mutual funds 2018Factors affecting equity mutual fund performance: evidence from Indonesia

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