Abstract

This paper applies the multiscaling approach to evaluate the performance of US mutual funds, namely Institutional, Active and Index funds. Based on this novel analysis, empirical results show that our results show that Institutional funds are clearly dominant over all time scales. Since risk and value (performance) are timescale-dependent concepts, any attempt to measure performance, such as a popular performance measure the Sharpe ratio or Jensen’s alpha, must take into account the investment horizon effect.

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