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Evaluating Fund Performance Within the Stochastic Discount Factor Framework

In: Encyclopedia of Finance

Author

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  • Jonathan Fletcher

    (University of Strathclyde)

Abstract

Glosten and Jagannathan (J Empir Financ 1:133–160, 1994) and Chen and Knez (Rev Financ Stud 9:511–555, 1996) pioneered the stochastic discount factor approach to fund performance. A major attraction of this approach is that it has been widely used to evaluate the performance of a wide range of managed funds such as mutual funds, hedge funds, and venture capital funds among others. In this chapter, I present an overview of the use of the stochastic discount approach to evaluate the performance of managed funds, and the estimation issues involved in this approach.

Suggested Citation

  • Jonathan Fletcher, 2022. "Evaluating Fund Performance Within the Stochastic Discount Factor Framework," Springer Books, in: Cheng-Few Lee & Alice C. Lee (ed.), Encyclopedia of Finance, edition 0, chapter 13, pages 667-680, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-91231-4_13
    DOI: 10.1007/978-3-030-91231-4_13
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    More about this item

    Keywords

    Stochastic discount factor; Managed funds; GMM;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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