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Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns

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  • Grinblatt, Mark
  • Titman, Sheridan

Abstract

This article introduces a new measure of portfolio performance and applies it to study the performance of a large sample of mutual funds. In contrast to previous studies of mutual fund performance, the measure used in this study employs portfolio holdings and does not require the use of a benchmark portfolio. It finds that the portfolio choices of mutual fund managers, particularly those that managed aggressive growth funds, earned significantly positive risk-adjusted returns in the 1976-85 period. Copyright 1993 by University of Chicago Press.

Suggested Citation

  • Grinblatt, Mark & Titman, Sheridan, 1993. "Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns," The Journal of Business, University of Chicago Press, vol. 66(1), pages 47-68, January.
    • Handle: RePEc:ucp:jnlbus:v:66:y:1993:i:1:p:47-68
    DOI: 10.1086/296593
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