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Conditional Performance Evaluation

In: Encyclopedia of Finance

Author

Listed:
  • Wayne E. Ferson

    (University of Southern California)

Abstract

Measures for evaluating the performance of a mutual fund or other managed portfolio are interpreted as the difference between the average return of the fund and that of an appropriate benchmark portfolio. Traditional measures use a fixed benchmark to match the average risk of the fund. Conditional performance measures use a dynamic strategy as the benchmark, matching the fund’s risk dynamics. The logic of this approach is explained, the models are described and the empirical evidence is reviewed.

Suggested Citation

  • Wayne E. Ferson, 2022. "Conditional Performance Evaluation," Springer Books, in: Cheng-Few Lee & Alice C. Lee (ed.), Encyclopedia of Finance, edition 0, chapter 11, pages 639-650, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-91231-4_11
    DOI: 10.1007/978-3-030-91231-4_11
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