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Performance Measurement of Mutual Funds, Hedge Funds, and Institutional Accounts

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  • Russ Wermers

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    (Robert H. Smith School of Business, University of Maryland at College Park, College Park, Maryland)

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    Abstract

    This review describes several important recent advances in the measurement of the performance of actively managed portfolios. For returns-based performance evaluation, we discuss several innovations, such as conditional performance evaluation, Bayesian approaches, and a new multiple-testing approach—the false-discovery rate. For portfolio holdings–based performance evaluation, our discussion ranges from extensions of the standard Daniel, Grinblatt, Titman, and Wermers (DGTW) stock return adjustment procedure to conditional holdings-based approaches. Applications of these approaches in the mutual fund, hedge fund, and institutional account universes are presented.

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    File URL: http://www.annualreviews.org/doi/abs/10.1146/annurev-financial-102710-144856
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    Bibliographic Info

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

    Volume (Year): 3 (2011)
    Issue (Month): 1 (December)
    Pages: 537-574

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    Handle: RePEc:anr:refeco:v:3:y:2011:p:537-574

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    Related research

    Keywords: portfolio performance; alpha; performance evaluation; performance attribution;

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    Cited by:
    1. Angelidis, Timotheos & Giamouridis, Daniel & Tessaromatis, Nikolaos, 2013. "Revisiting mutual fund performance evaluation," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1759-1776.
    2. Hunter, David & Kandel, Eugene & Kandel, Shmuel & Wermers, Russ, 2014. "Mutual fund performance evaluation with active peer benchmarks," Journal of Financial Economics, Elsevier, vol. 112(1), pages 1-29.

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