Abstract

Mutual fund returns are significantly related to stock characteristics in the cross-section after controlling for risk via factor models. We develop a new double-adjusted approach that controls for both factor model betas and stock characteristics in one performance measure. The new measure substantially affects performance rankings, with a quarter of funds experiencing a change in their percentile ranking greater than 10. Double-adjusted performance produces strong evidence of persistence in relative performance. Inference based on the new measure often differs, sometimes dramatically, from that based on traditional performance estimates.Received November 22, 2019; editorial decision June 28, 2020; Editor: Jeffrey Pontiff. Authors have furnished an Internet Appendix,which is available on the Oxford University Press Web site next to the link to the final published paper online.

中文翻译：

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双重调整共同基金业绩

摘要

通过因子模型控制风险后，共同基金的收益与横截面中的股票特征显着相关。我们开发了一种新的双重调整方法，可在一项绩效指标中同时控制因子模型beta和股票特征。这项新措施极大地影响了绩效排名，四分之一的基金的百分位排名变化大于10。双重调整的绩效产生了相对绩效持续存在的有力证据。基于新衡量标准的推论通常与基于传统绩效评估的推论有所不同，有时甚至会大不相同.2019年11月22日收到; 2020年6月28日的编辑决定；编辑：杰弗里·庞蒂夫（Jeffrey Pontiff）。作者提供了Internet附录，