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a comparative simulation study of strongfundstrong performance measures
A Comparative Simulation Study of
Fund Performance Measures
Shafiqur Rahman
School of Business Administration
Portland State University
Portland, Oregon 97207-0751
Shahidur Rahman
Department of Economics
Kazakhstan Institute of Management
Economics and Strategic Research
Zhangpeng Gao
DBS Bank Ltd
Singapore
JEL Classification : G0, G1, C1, D4
Key words: Managed Funds, Performance Measure, Market-timing, Return-Based
Style Analysis
Correspondence Address:
Professor Shafiqur Rahman
School of Business Administration
Portland State University
P. O. Box 751
Portland, OR 97207-0751
503.799.9186 (Voice)
503.725.5850 (Fax)
rahmans@
A Comparative Simulation Study of
Fund Performance Measures
ABSTRACT
This study critically reviews current fund performance measures. The performance
measure derived from the return-based style analysis (RBSA) by Sharpe (1992) is
introduced and compared with other regression-based measures. A comparative
simulation is set up to test the robustness, accuracy, and efficiency of the alternative
measures. The evidence shows that the RBSA measure is superior to other measures.
The performance of the simple Jensen measures is sensitive to fund types. More
complicated measures, like market-timing measures and multifactor measures show
spurious market timing and wrong fund type informatio
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