This paper surveys several mutual fund performance evaluation models. The models are applied to examine the performance of Greek equity and balanced mutual funds. Specifically, the Henriksson and Merton (1981), Bhattacharya and Pfleiderer (1983) and Lockwood and Kadiyala (1988) models are applied and compared. Empirical results show that models in which beta is treated as random variable imply superior manager performance in terms of selectivity, contrary to models based on the assumption of binary betas. All models are in agreement that fund managers do not exhibit superior macro-forecasting abilities.
Performance Evaluation: A Review Article And An Empirical Investigation Of Greek Mutual Fund Managers