Performance Measurement And Evaluation
This chapter discusses methods and techniques for measuring and evaluating performance for the purpose of controlling the investment process. However, many of the methods discussed in this chapter are also used in communicating investment performance between the investment management company and it’s (potential) customers. Therefore, performance measurements also play an important role in the competition between investments management companies. Substantial evidence from the net sales of mutual funds shows that investors buy mutual funds with good past performance records although they fail to sell funds with bad past performance.
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- Diane Del Guercio & Paula A. Tkac, 2000. "The determinants of the flow of funds of managed portfolios: mutual funds versus pension funds," FRB Atlanta Working Paper 2000-21, Federal Reserve Bank of Atlanta.
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"Risk Taking by Mutual Funds as a Response to Incentives,"
Journal of Political Economy,
University of Chicago Press, vol. 105(6), pages 1167-1200, December.
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- Guercio, Diane Del & Tkac, Paula A., 2002. "The Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds vs. Pension Funds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(04), pages 523-557, December.
- Auke Plantinga & Robert van der Meer, 1995. "Liability-driven Performance Attribution," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 20(1), pages 16-29, January.
- Peter O. Dietz, 1968. "Components Of A Measurement Model: Rate Of Return, Risk, And Timing," Journal of Finance, American Finance Association, vol. 23(2), pages 267-275, 05. Full references (including those not matched with items on IDEAS)
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