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Performance measurement of managed portfolios: a survey

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  • Gonzalo Rubio

    (Universidad de País Vasco)

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    File URL: ftp://ftp.fundacionsepi.es/InvEcon/paperArchive/Ene1993/v17i1a1.pdf
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    Bibliographic Info

    Article provided by Fundación SEPI in its journal Investigaciones Economicas.

    Volume (Year): 17 (1993)
    Issue (Month): 1 (January)
    Pages: 3-41

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    Handle: RePEc:iec:inveco:v:17:y:1993:i:1:p:3-41

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    Postal: Investigaciones Economicas Fundación SEPI Quintana, 2 (planta 3) 28008 Madrid Spain
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    Web page: http://www.fundacionsepi.es/

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Cumby, Robert E & Glen, Jack D, 1990. " Evaluating the Performance of International Mutual Funds," Journal of Finance, American Finance Association, vol. 45(2), pages 497-521, June.
    2. Merton, Robert C, 1981. "On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts," The Journal of Business, University of Chicago Press, vol. 54(3), pages 363-406, July.
    3. Darryll Hendricks & Jayendu Patel & Richard Zeckhauser, 1990. "Hot Hands in Mutual Funds: The Persistence of Performance, 1974-87," NBER Working Papers 3389, National Bureau of Economic Research, Inc.
    4. Lehmann, Bruce N & Modest, David M, 1987. " Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons," Journal of Finance, American Finance Association, vol. 42(2), pages 233-65, June.
    5. Dybvig, Philip H & Ross, Stephen A, 1985. " Differential Information and Performance Measurement Using a Security Market Line," Journal of Finance, American Finance Association, vol. 40(2), pages 383-99, June.
    6. Alonso, Aurora & Rubio, Gonzalo & Tusell, Fernando, 1990. "Asset pricing and risk aversion in the Spanish stock market," Journal of Banking & Finance, Elsevier, vol. 14(2-3), pages 351-369, August.
    7. William F. Sharpe, 1965. "Mutual Fund Performance," The Journal of Business, University of Chicago Press, vol. 39, pages 119.
    8. Dybvig, Philip H & Ross, Stephen A, 1985. " The Analytics of Performance Measurement Using a Security Market Line," Journal of Finance, American Finance Association, vol. 40(2), pages 401-16, June.
    9. Bruce N. Lehmann & David M. Modest, 1985. "Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons," NBER Working Papers 1721, National Bureau of Economic Research, Inc.
    10. Black, Fischer, 1972. "Capital Market Equilibrium with Restricted Borrowing," The Journal of Business, University of Chicago Press, vol. 45(3), pages 444-55, July.
    11. Breeden, Douglas T., 1979. "An intertemporal asset pricing model with stochastic consumption and investment opportunities," Journal of Financial Economics, Elsevier, vol. 7(3), pages 265-296, September.
    12. Grinblatt, Mark & Titman, Sheridan D, 1989. "Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings," The Journal of Business, University of Chicago Press, vol. 62(3), pages 393-416, July.
    13. Connor, Gregory & Korajczyk, Robert A., 1986. "Performance measurement with the arbitrage pricing theory : A new framework for analysis," Journal of Financial Economics, Elsevier, vol. 15(3), pages 373-394, March.
    14. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-87, September.
    15. Gregory Connor and Robert Korajczyk., 1987. "Risk and Return in an Equilibrium APT," Research Program in Finance Working Papers 174, University of California at Berkeley.
    16. Elton, Edwin J. & Gruber, Martin J., 1991. "Differential information and timing ability," Journal of Banking & Finance, Elsevier, vol. 15(1), pages 117-131, February.
    17. Fama, Eugene F, 1972. "Components of Investment Performance," Journal of Finance, American Finance Association, vol. 27(3), pages 551-67, June.
    18. Grinblatt, Mark & Titman, Sheridan, 1983. "Factor pricing in a finite economy," Journal of Financial Economics, Elsevier, vol. 12(4), pages 497-507, December.
    19. Henriksson, Roy D, 1984. "Market Timing and Mutual Fund Performance: An Empirical Investigation," The Journal of Business, University of Chicago Press, vol. 57(1), pages 73-96, January.
    20. Mark Grinblatt & Sheridan Titman, . "Portfolio Performance Evaluation: Old Issues and New Insights," Rodney L. White Center for Financial Research Working Papers 22-88, Wharton School Rodney L. White Center for Financial Research.
    21. Brown, Stephen J, et al, 1992. "Survivorship Bias in Performance Studies," Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 553-80.
    22. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December.
    23. Cornell, Bradford, 1979. "Asymmetric information and portfolio performance measurement," Journal of Financial Economics, Elsevier, vol. 7(4), pages 381-390, December.
    24. Connor, Gregory, 1984. "A unified beta pricing theory," Journal of Economic Theory, Elsevier, vol. 34(1), pages 13-31, October.
    25. Dybvig, Philip H., 1983. "An explicit bound on individual assets' deviations from APT pricing in a finite economy," Journal of Financial Economics, Elsevier, vol. 12(4), pages 483-496, December.
    26. Gonzalo Rubio., 1992. "Further Evidence on Performance Evaluation: Portfolio Holdings, Recommendations, and Turnover Costs," Research Program in Finance Working Papers RPF-222, University of California at Berkeley.
    27. Gregory Connor and Robert A. Korajczyk., 1988. "The Attributes, Behavior and Performance of U.S. Mutual Funds," Research Program in Finance Working Papers 181, University of California at Berkeley.
    28. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "An Intertemporal General Equilibrium Model of Asset Prices," Econometrica, Econometric Society, vol. 53(2), pages 363-84, March.
    29. Jagannathan, Ravi & Korajczyk, Robert A, 1986. "Assessing the Market Timing Performance of Managed Portfolios," The Journal of Business, University of Chicago Press, vol. 59(2), pages 217-35, April.
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    Cited by:
    1. Miguel Martinez Sedano, 2003. "Legal constraints, transaction costs and the evaluation of mutual funds," The European Journal of Finance, Taylor & Francis Journals, vol. 9(3), pages 199-218.
    2. Luis Ferruz Agudo & José Luis Sarto Marzal, 1997. "Eficacia financiera aplicada en gestión de carteras y necesidad de nuevos índices de performance," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 8, pages 41-58, Diciembre.
    3. Angeles Fernandez-Izquierdo & Juan Matallin-Saez, 2008. "Performance of Ethical Mutual Funds in Spain: Sacrifice or Premium?," Journal of Business Ethics, Springer, vol. 81(2), pages 247-260, August.

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