Abstract
vided an absolute measure of performance which can be used to determine whether mutual funds earn higher or lower returns than those expected for the level of risk associated with their portfolios. McDonald [11] has employed the measures of performance developed by Sharpe, Treynor, and Jensen to evaluate the objectives, risk, and return of mutual funds in the period 1960-1969. Although these studies have examined mutual fund performance, none has employed an analytical framework for dealing explicitly with the nonstationarity which is likely to exist in the risk-return relationships for such funds [13]. If nonstationarity is present in the risk-return relationship and is ig? nored, the resulting estimates of alpha and beta may provide misleading informa? tion. This study presents new procedures for examining risk-return relation? ships in the presence of nonstationarity so that more precise estimates of alpha and beta can be obtained. The procedures are applied to price appreciation data for the market and 28 mutual funds. The information generated by these proce? dures is used to analyze changes in betas for the mutual funds.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: The Journal of Financial and Quantitative Analysis
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
