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Investment Performance Evaluation

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  • Wayne E. Ferson

    ()
    (Marshall School of Business, University of Southern California, Los Angeles, California 90089)

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    Abstract

    This article provides a review of the rapidly developing literature on investment performance evaluation. The goals are to summarize the significant forces and contributions that have brought this field of research to its current state of knowledge and to suggest directions for future research. This review is written for a reader who is familiar with financial economics but not the specific literature and who wishes to become familiar with the current state of the art. Suggestions for future research include refinements to portfolio holdings-based performance measures, a more balanced treatment of costs, and clientele-specific measures of investment performance.

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    File URL: http://www.annualreviews.org/doi/abs/10.1146/annurev-financial-120209-134007
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    Bibliographic Info

    Article provided by Annual Reviews in its journal Annual Review of Financial Economics.

    Volume (Year): 2 (2010)
    Issue (Month): 1 (December)
    Pages: 207-234

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    Handle: RePEc:anr:refeco:v:2:y:2010:p:207-234

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    Related research

    Keywords: mutual funds; hedge funds; bond funds; stochastic discount factors; portfolio holdings; portfolio management; alpha; market timing; investor clienteles;

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    Cited by:
    1. Angelidis, Timotheos & Giamouridis, Daniel & Tessaromatis, Nikolaos, 2012. "Revisiting Mutual Fund Performance Evaluation," MPRA Paper 36644, University Library of Munich, Germany.
    2. Jonathan Fletcher & Andrew Marshall, 2014. "Investor Heterogeneity and the Cross-section of U.K. Investment Trust Performance," Journal of Financial Services Research, Springer, Springer, vol. 45(1), pages 67-89, February.
    3. Jonathan Fletcher, 2011. "An Examination of Dynamic Trading Stategies in UK and US Stock Returns," Journal of Business Finance & Accounting, Wiley Blackwell, Wiley Blackwell, vol. 38(9-10), pages 1290-1310, November.

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