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Performance Measurement and Evaluation

  • Allan Timmermann


  • Bruce N. Lehmann

We consider performance measurement and evaluation for managed funds. Similarities and differences−both in econometric practice and in interpretation of outcomes of empirical tests−between performance measurement and conventional asset pricing models are analyzed. We also discuss how inference on ‘skill’ is affected when fund managers have market timing information. Performance testing based on portfolio weights is also covered as is recent developments in Bayesian models of performance measurement that can accommodate errors in the benchmark asset pricing model.

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Paper provided by Financial Markets Group in its series FMG Discussion Papers with number dp604.

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Date of creation: Apr 2007
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Handle: RePEc:fmg:fmgdps:dp604
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