A Comparison of Measures of Abnormal Performance on a Sample of Monthly Mutual Fund Returns, formerly titled; The Evaluation of Mutual Fund Performance: An Analysis of Monthly Returns

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Grinblatt, Mark;
  • Publisher: eScholarship, University of California

This paper empirically examines the Jensen Measure, the Positive Period Weighting Measure, developed in Grinblatt and Titman (1987a), measures developed from the Treynor-Mazuy (1966) quadratic regression on a sample 179 mutual funds, using a variety of benchmark portfol... View more
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