... Licensed re-use rights only Mutual fund performance Multifactor models Fund characteristics Panel data G11 G14 G23 With the substantial growth of the mutual fund industry, fund performance evaluation studies have also increased, focusing on different types of funds in the most...

... of equation (1). There exists no such perfect arbitrage-free formula for equation (2). Thus, in what follows, we will mostly discuss the performance measured in the Treynor and Mazuy (1966) model, which is the focus of the paper. To date, the literature on mutual fund performance has produced three...