Portfolio performance evaluation
By: George O. Aragon, Wayne E. Ferson
Contributors: Ferson, Wayne E.
Series: Foundations and trends in finance -- v. 2, no. 2; Foundations and trends in finance -- v. 2, no. 2.
Publisher: Now
Published: 2008
Place of publication: Boston
Language: eng
Format: [electronic resource] /
Number of pages: 111
ISBN-13: 9781601980830; 9781601980823
Subjects: Investments & Securities; Portfolio management; BUSINESS & ECONOMICS; General
Description: This paper provides a review of the methods for measuring portfolio performance and the evidence on the performance of professionally managed investment portfolios. Traditional performance measures, strongly influenced by the Capital Asset Pricing Model of Sharpe (1964), were developed prior to 1990. We discuss some of the properties and important problems associated with these measures. We then review the more recent Conditional Performance Evaluation techniques, designed to allow for expected returns and risks that may vary over time, and thus addressing one major shortcoming of the traditional measures. We also discuss weight-based performance measures and the stochastic discount factor approach. We review the evidence that these newer measures have produced on selectivity and market timing ability for professional managed investment funds. The evidence includes equity style mutual funds, pension funds, asset allocation style funds, fixed income funds and hedge funds.
Notes: Title from PDF title page (viewed Jan. 23, 2008).

Offprint. Foundations and trends in finance (Online). Vol. 2, no. 2 (2006).

Includes bibliographical references.
Table of contents: title: Abstract; title: Introduction; title: Classical measures of portfolio performance; title: The measures: an overview; title: Properties of the classical measures; title: The evidence for professionally managed portfolios using classical measures; title: Conditional performance evaluation; title: Motivation and example; title: Conditional alphas; title: Conditional market timing; title: Conditional weight-based measures; title: The stochastic discount factor approach; title: Relation to the beta pricing approach; title: Estimation of SDF alphas; title: Implementing the measures: a fund-of-funds perspective; title: Evaluating a set of individual hedge funds; title: Bond fund performance measurement; title: Fixed income models; title: Hedge fund performance; title: Data issues; title: Dynamic risk exposures; title: Asset illiquidity; title: Recent empirical evidence; title: Evidence on conditional alphas; title: Conditional market timing; title: Evidence from weight-based measures; title: Stochastic discount factor evidence; title: Pension fund evidence; title: Evidence on bond fund performance; title: Evidence on hedge fund performance; title: A summary: the evidence on managed portfolio performance and market efficiency; title: Market efficiency and portfolio performance; title: Mutual fund examples; title: Hedge fund examples; title: Conclusions; title: Acknowledgements; title: References; title: Updates.