An Asymptotic Principal Components Performance Measurement for Mutual Funds With Emphasis on Fixed Income Funds Relative to Balanced and Stock Funds

This study attempts first to analyze the performance of bond, balanced, and stock mutual funds relative to the market and each other. It builds a performance measurement model based upon the Connor-Korajczyk Jensen-like measure. This model enables one to avoid some of the problems associated with factor analysis and yet look at performance in an APT multifactor setting.

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Finance

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2014

Author dc:creator

• Frohlich-Plummer, Cheryl Jean

Contributors dc:contributor

• Scott, Louis O.,

• Business Administration, General
• Economics, Finance

Identifier

(UMI)AAI8908685

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/71526