Clarke, Charles V

Summary of Group Activities:

Over the last 30 years, different mutual fund performance measures have been introduced in the finance literature. In this paper, we compare those measures to understand their costs and benefits. Specifically, using bootstrapping methods, we study mutual find performance measures such as multifactor benchmarks (e.g., Fama and French, 1993; Fama and French,2015) and characteristics-based measures (GT, 1992 ; DGTW, 1997). In other words, in the first approach, we use regression-based performance measures to analyze the performance of mutual fund managers over a three- to five-year period. In the second approach, we study performance measures that compare fund returns to a benchmark portfolio of stocks with similar characteristics (e.g., momentum, size, and book-to-market). By doing so, we provide direct evidence on properties of fund performance measures.

Students:

Morteza Shahraki Momeni, Graduate

Computational method:

In this study, we use bootstrapping technique to compare difference mutual fund performance measures.

Software:

In this paper, we use R, Python, and Stata (if it is available).

Datasets:

We use CRSP and Compustat datasets.

Research Participants:

Charlie Clarke, Professor, Finance Department

Morteza Momeni, PhD student, Finance Department, Added on MCC cluster 02/23/2023

Grants:

Publications: