Lisi, Francesco (2008) Dicing with the market: randomized procedures for evaluation of mutual funds. [Working Paper] WORKING PAPER SERIES, 9/2008 . , PADOVA (Inedito)
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A statistically correct procedure for evaluating management skill in the mutual fund industry is described. The approach is based on random and semi-random portfolios and is completely data-driven, allowing reference to a specific benchmark or to peer-groups to be avoided. Rather, it produces a new benchmark, which represents the minimum level of performance that skilled managament should reach. An application to some Italian equity funds is also given.
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