Mutual fund performance studies that examine returns over several years typically show that fund managers significantly underperform on a risk-adjusted basis. Using a four-factor risk-adjustment model, the authors of this article observe similar results during the bull market of the 1990s....

Using a four-factor model the authors generate alphas and factor loadings for a set of stock market indexes. Indexes are essentially unmanaged portfolios; therefore their alphas should be insignificant. Since unmanaged indexes do not follow any particular momentum strategy, factor loadings for...

This article establishes index suitability on a risk-adjusted basis for socially responsible investment (SRI) mutual funds that specify small-to-mid- or large-capitalization indexes as their performance benchmarks. Using a four-factor model, the authors calculate factor loadings for SRI mutual...

The Carhart four-factor model is the most widely used risk adjusted performance metric for mutual fund returns. Recent papers find the four-factor model generates significant alphas and factor loadings for unmanaged stock market indexes. In this paper, we introduce a new methodology to eliminate...

The Carhart four-factor model is the most widely used risk-adjusted performance metric for mutual fund returns. Recent papers find the four-factor model generates significant alphas and factor loadings for unmanaged stock market indexes. In this paper, we introduce a new methodology to eliminate...