This paper analyzes the performance of US open-end mutual funds by applying seven performance measures to monthly returns. The evaluation period is from January 1979 to December 2008. The results show that the Sharpe (1966) ratio has similar rankings to Jensen (1968) alpha. And the rankings of conditional and unconditional alphas are almost the same, implying that funds are well managed. However, the timing models indicate that although funds managers have strong stock-picking abilities, they cannot time the market. Moreover, the Fama-French (1996) three-factor model and Carhart (1997) four-factor model indicate more pessimistic results than the single factor models.
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