MUTUAL FUNDS FOR DISTRIBUTION AND CALCULATION RETURNS

Distribution and calculation returns are applied in the financial literature for determining fund performance or testing market competency. In this paper we propose a new return calculation and distribution method. This method has not been used in academic studies for asset pricing purpose. Daily recalculated monthly returns induce the best fitting property of the market model and the time series remain sufficiently long to derive asymptotic tests even when we work on a long time period series.