Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings

1989/01/01 by Mark Grinblatt, Sheridan Titman · 1,417 citations
Business, Management and Accounting · Economics, Econometrics and Finance · #Business #Corporate Finance and Governance #Economics #Finance #Financial Markets and Investment Strategies #Financial economics #Housing Market and Economics #Mutual fund #Portfolio

paper · doi:10.1086/296468

published in The Journal of Business 62(3), 393 (University of Chicago Press)

openalex publication_date 1989/01/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05

Abstract

This article employs the 1975-84 quarterly holdings of a sample of mutual funds to construct an estimate of their gross returns. This sample, which is not subject to survivorship bias, is used in conjunction with a sample that contains the actual (net) returns of the mutual funds. In addition to allowing the authors to estimate the bias in measured performance that is due to the survival requirement and to estimate total transaction costs, the sample is used to test for the existence of abnormal performance. The tests indicate that the risk-adjusted gross returns of some funds were significantly positive. Copyright 1989 by the University of Chicago.

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