Unformatted text preview: or ROA performance of 2% : Detected 7 times out of 10.
Superior ROA performance of 3% : Detected almost every time. Measurement techniques are not powerful enough to pick up
“small” improvements in performance.
•Kothari and Warner (Journal of Finance, 2001)
Using state-of-the-art techniques, can we detect superior
mutual fund performance?
•100 basis points annual superior performance: Undetected.
•500 basis points: Detected once every three times.
•1500 basis points: Detected (almost) every time.
•Ability to detect superior performance improves if one tracks
a mutual fund’s stock trades....
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- Spring '12
- Pension fund, Public Pension Fund Activism, pension fund activism