On statistical surveillance of the performance of fund managers
The aim of this report is to describe if and how statistical surveillance methods for monitoring of the performance of fund managers has been used. Statistical surveillance is a methodology for on-line monitoring, in which a warning signal is given if the performance declines. Since these methods are advanced you can expect the methods to be described in scientific literature. Problems in this area which will not be treated in this report are: 1. Estimation of the performance. 2. Hypothesis testing of if this manager always have a poor performance. 3. Examination of how managers are influenced by being evaluated.
|Date of creation:||27 Nov 2008|
|Contact details of provider:|| Postal: Statistical Research Unit, University of Gothenburg, Box 640, SE 40530 GÖTEBORG|
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- Andersson, Eva & Bock, David & Frisén, Marianne, 2007. "Modeling influenza incidence for the purpose of on-line monitoring," Research Reports 2007:5, Statistical Research Unit, Department of Economics, School of Business, Economics and Law, University of Gothenburg.
- Frisén, Marianne & Andersson, Eva & Schiöler, Linus, 2007. "Robust outbreak surveillance of epidemics in Sweden," Research Reports 2007:12, Statistical Research Unit, Department of Economics, School of Business, Economics and Law, University of Gothenburg.
- David Bock & Eva Andersson & Marianne Frisén, 2005. "Statistical surveillance of cyclical processes with application to turns in business cycles," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(7), pages 465-490.
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