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Cited by 2,778

The DOI matches its Crossref record; 24 of the 24 references it cites were found in a registry or an index.

Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks

DANIEL, KENT, GRINBLATT, MARK, TITMAN, SHERIDAN, WERMERS, RUSS·1997·The Journal of Finance
DOI 10.1111/j.1540-6261.1997.tb02724.x
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Abstract

This article develops and applies new measures of portfolio performance which use benchmarks based on the characteristics of stocks held by the portfolios that are evaluated. Specifically, the benchmarks are constructed from the returns of 125 passive portfolios that are matched with stocks held in the evaluated portfolio on the basis of the market capitalization, book‐to‐market, and prior‐year return characteristics of those stocks. Based on these benchmarks, “Characteristic Timing” and “Characteristic Selectivity” measures are developed that detect, respectively, whether portfolio managers successfully time their portfolio weightings on these characteristics and whether managers can select stocks that outperform the average stock having the same characteristics. We apply these measures to a new database of mutual fund holdings covering over 2500 equity funds from 1975 to 1994. Our results show that mutual funds, particularly aggressive‐growth funds, exhibit some selectivity ability, but that funds exhibit no characteristic timing ability.

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Metadata

Authors
DANIEL, K., GRINBLATT, M., TITMAN, S., & WERMERS, R.
Venue
The Journal of Finance
Publisher
Wiley
Published
1997-07
Volume
52
Issue
3
Pages
1035-1058
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/j.1540-6261.1997.tb02724.x
OpenAlex
W2169645335
Cited by
2,778
References
24
FWCI
36.33
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks. https://app.cochat.ai/papers/10.1111/j.1540-6261.1997.tb02724.x
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DANIEL, K., GRINBLATT, M., TITMAN, S., & WERMERS, R. (1997). Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1997.tb02724.x

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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.