A statistically correct procedure for evaluating management skill in the mutual fund industry is described. The approach is based on random and semi-random portfolios and is completely data-driven, allowing reference to a specific benchmark or to peer-groups to be avoided. Rather, it produces a new benchmark, which represents the minimum level of performance that skilled managament should reach. An application to some Italian equity funds is also given.
Dicing with the market: randomized procedures for evaluation of mutual funds.
Lisi, Francesco
2008
Abstract
A statistically correct procedure for evaluating management skill in the mutual fund industry is described. The approach is based on random and semi-random portfolios and is completely data-driven, allowing reference to a specific benchmark or to peer-groups to be avoided. Rather, it produces a new benchmark, which represents the minimum level of performance that skilled managament should reach. An application to some Italian equity funds is also given.
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