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Evaluating Portfolio Performance with Stochastic Discount Factors

  • Dahlquist, Magnus

    ()

    (Department of Finance)

  • Söderlind, Paul

    ()

    (Department of Economics)

This paper provides evidence on the use of stochastic discount factors in the evaluation of portfolio performance. First we discuss evaluation in this setting, and relates it to traditional mean-variance analysis. We then use Monte Carlo experiments to examine the small sample properties of generalized method of moment (GMM) estimators, Both Size and power properties are characterized for various GMM approaches. Finally, we apply the methodology to Swedish-based mutual funds. We offer an evaluation allowing for passive as well as dynamic strategies. The conditional evaluation indicates that funds may have had superior performance over the sample period.

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Paper provided by Stockholm School of Economics in its series SSE/EFI Working Paper Series in Economics and Finance with number 175.

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Length: 39 pages
Date of creation: May 1997
Date of revision: 01 Sep 1998
Publication status: Published in Journal of Business, 1999, pages 347-384.
Handle: RePEc:hhs:hastef:0175
Contact details of provider: Postal: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden
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