Performance Measurement of Mutual Funds, Hedge Funds, and Institutional Accounts
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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Volume (Year): 3 (2011)
Issue (Month): 1 (December)
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