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

Author

Listed:
  • Russ Wermers

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

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.

Suggested Citation

  • Russ Wermers, 2011. "Performance Measurement of Mutual Funds, Hedge Funds, and Institutional Accounts," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 537-574, December.
  • Handle: RePEc:anr:refeco:v:3:y:2011:p:537-574
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    File URL: http://www.annualreviews.org/doi/abs/10.1146/annurev-financial-102710-144856
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    Citations

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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. repec:fau:fauart:v:67:y:2017:i:5:p:439-459 is not listed on IDEAS
    3. 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.
    4. Zhongzhi Lawrence He, 2018. "Generalized Information Ratio," Papers 1803.01381, arXiv.org, revised Apr 2018.
    5. Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall, 2016. "A review of behavioural and management effects in mutual fund performance," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 162-176.
    6. Kempf, Elisabeth, 2016. "Essays in corporate finance and financial intermediation," Other publications TiSEM 10ddfd17-968d-4065-b749-7, Tilburg University, School of Economics and Management.
    7. Robert Jarrow, 2016. "Bubbles And Multiple-Factor Asset Pricing Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-19, February.
    8. repec:eee:jfinec:v:124:y:2017:i:3:p:535-562 is not listed on IDEAS
    9. Callado Muñoz, Francisco Jose & González Chapela, Jorge & Utrero González, Natalia, 2014. "Analysis of deviance in household financial portfolio choice: evidence from Spain," MPRA Paper 57497, University Library of Munich, Germany.
    10. Kazemi, Maziar & Islamaj, Ergys, 2014. "Returns to Active Management: The Case of Hedge Funds," International Finance Discussion Papers 1112, Board of Governors of the Federal Reserve System (U.S.).

    More about this item

    Keywords

    portfolio performance; alpha; performance evaluation; performance attribution;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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