Πηγές υπερβάλλουσας απόδοσης στην ενεργητική διαχείριση χαρτοφυλακίων. Χρονικός συντονισμός ή Επιλογή μετοχών
Sources of excess return on active portfolio management. Market timing or Stock picking
The importance of mutual funds in financial markets has literally sky-rocketed over the past years worldwide. This phenomenon that can be attributed to the crucial benefits that mutual funds offer to individual investors as that they provide professional management independently of the investor’s capital size. Also funds can exploit financial economies of scale that individual investors cannot, and enable them to perform liquidity risk sharing. As a result of this, the performance of portfolio managers has become an important issue for financial economists. This paper surveys the most well-known riskadjusted measures and several mutual fund performance evaluation models. These are applied to examine the performance of actively managed American equity and balanced mutual funds. Specifically, the Jensen’s Performance Index (1968), Treynor-Mazuy (1966), Henriksson-Merton (1981) and Fama-French (1993) analyzed and computed.