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Performance Measurement and Evaluation

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  • Allan Timmermann

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  • Bruce N. Lehmann

Abstract

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.

Suggested Citation

  • Allan Timmermann & Bruce N. Lehmann, 2007. "Performance Measurement and Evaluation," FMG Discussion Papers dp604, Financial Markets Group.
  • Handle: RePEc:fmg:fmgdps:dp604
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    File URL: http://www.lse.ac.uk/fmg/workingPapers/discussionPapers/fmgdps/dp604.pdf
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    Cited by:

    1. Cuthbertson, Keith & Nitzsche, Dirk, 2013. "Performance, stock selection and market timing of the German equity mutual fund industry," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 86-101.
    2. 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.

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