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Investment Performance: A Review and Synthesis

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  • Ferson, Wayne E.

Abstract

This chapter provides a perspective on the rapidly developing literature on investment performance evaluation. I use the stochastic discount factor approach to present and critique current performance measurement techniques in a unified setting. I offer a number of suggestions to improve performance measurement in future research. I also review recent research on the performance of mutual funds, hedge funds, pension funds, and other investment vehicles.

Suggested Citation

  • Ferson, Wayne E., 2013. "Investment Performance: A Review and Synthesis," Handbook of the Economics of Finance, Elsevier.
  • Handle: RePEc:eee:finchp:2-b-969-1010
    DOI: 10.1016/B978-0-44-459406-8.00014-7
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    Cited by:

    1. Ferson, Wayne & Mo, Haitao, 2016. "Performance measurement with selectivity, market and volatility timing," Journal of Financial Economics, Elsevier, vol. 121(1), pages 93-110.
    2. Fletcher, Jonathan, 2014. "Benchmark models of expected returns in U.K. portfolio performance: An empirical investigation," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 30-46.

    More about this item

    Keywords

    Mutual funds; Hedge funds; Bond funds; Stochastic discount factors; Portfolio holdings; Bootstrap; Market efficiency; Portfolio management; G11; G14; G23;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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