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I am trying to compare 2 equity funds, I have 10Y of monthly returns (no knowledge of their share allocations) - and their index benchmark returns.

They are both Value managers but I am not looking for qualitative comparisons. Are there any clever/interesting ways of going about doing this comparison that you may know of, aside from showing the usual YTD, MTD, 1Y,2Y returns and Sharpe ratio, drawdowns,...

-Thanks

NickF
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1 Answers1

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Most literature focus on comparing fund returns using a model alpha. A good overview is: Cahart (1997) and Berk and Binsbergen (2015). Basically you regress the fund returns on most common used factors (market return, HML, SMB, Liquidity and Momentum factors) and compare alphas after fees.

phdstudent
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