Evaluating managed fund performance using conditional measures: Australian evidence

Most studies of managed fund performance use measures that are susceptible to bias caused by common time variation in risks and risk premia. We evaluate the performance of Australian managed funds 1983–1995 using lagged public information variables that have been shown to predict stock returns, such...

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Bibliographic Details
Published inPacific-Basin finance journal Vol. 8; no. 3; pp. 505 - 528
Main Authors Sawicki, Julia, Ong, Fred
Format Journal Article
LanguageEnglish
Published Elsevier B.V 2000
Elsevier
SeriesPacific-Basin Finance Journal
Subjects
Conditional CAPM
Mutual funds
Performance evaluation
Performance evaluation
G23
G20
Conditional CAPM
Mutual funds
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Summary:Most studies of managed fund performance use measures that are susceptible to bias caused by common time variation in risks and risk premia. We evaluate the performance of Australian managed funds 1983–1995 using lagged public information variables that have been shown to predict stock returns, such as interest rates and dividend yields, to control for the variation. The results indicate an improvement in performance relative to traditional measures and confirm the importance of using conditioning information, especially dividend yield, in performance evaluation. Jensen alphas are higher when estimated with the conditional model and the number of significant timing coefficients is greatly reduced.
ISSN:0927-538X
1879-0585
DOI:10.1016/S0927-538X(00)00027-5