Abstract Mutual fund returns are significantly related to stock characteristics in the cross-section after controlling for risk via factor models. We develop a new double-adjusted approach that controls for both factor model betas and stock characteristics in one performance measure. The new measure substantially affects performance rankings, with a quarter of funds experiencing a change in their percentile ranking greater than 10. Double-adjusted performance produces strong evidence of persistence in relative performance. Inference based on the new measure often differs, sometimes dramatically, from that based on traditional performance estimates. Received November 22, 2019; editorial decision June 28, 2020; Editor: Jeffrey Pontiff. Authors have furnished an Internet Appendix,which is available on the Oxford University Press Web site next to the link to the final published paper online.