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Title: Mutual fund performance measurement and fund rating.
Authors: Gao, Zhangpeng.
Keywords: DRNTU::Business::Finance::Funds
Issue Date: 2006
Source: Gao, Z. P. (2006). Mutual fund performance measurement and fund rating. Doctoral thesis, Nanyang Technological University, Singapore.
Abstract: How to measure and rate the performance of funds is the main question that perplexes the fund industry. We show that the measure proposed by Sharpe, which is derived from return-based style analysis, is superior to other measures by a comparative simulation study. We formally develop the econometric methodology on how to implement it, and show that the measure has several advantages because of its quadratic programming estimation techniques instead of the regression method of traditional measures.
Description: 170 p.
DOI: 10.32657/10356/36156
Fulltext Permission: open
Fulltext Availability: With Fulltext
Appears in Collections:HSS Theses

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