IDEAS home Printed from https://ideas.repec.org/a/iec/inveco/v17y1993i1p3-41.html
   My bibliography  Save this article

Performance measurement of managed portfolios: a survey

Author

Listed:
  • Gonzalo Rubio

    (Universidad de País Vasco)

Abstract

No abstract is available for this item.

Suggested Citation

  • Gonzalo Rubio, 1993. "Performance measurement of managed portfolios: a survey," Investigaciones Economicas, Fundación SEPI, vol. 17(1), pages 3-41, January.
    • Handle: RePEc:iec:inveco:v:17:y:1993:i:1:p:3-41
    as

    Download full text from publisher

    File URL: https://www.fundacionsepi.es/investigacion/revistas/paperArchive/Ene1993/v17i1a1.pdf
    File Function: Full text
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Darryll Hendricks & Jayendu Patel & Richard Zeckhauser, 1990. "Hot Hands in Mutual Funds: The Persistence of Performance, 1974-87," NBER Working Papers 3389, National Bureau of Economic Research, Inc.
    2. Dybvig, Philip H., 1983. "An explicit bound on individual assets' deviations from APT pricing in a finite economy," Journal of Financial Economics, Elsevier, vol. 12(4), pages 483-496, December.
    3. Gregory Connor and Robert A. Korajczyk., 1988. "The Attributes, Behavior and Performance of U.S. Mutual Funds," Research Program in Finance Working Papers 181, University of California at Berkeley.
    4. Stephen A. Ross, 2013. "The Arbitrage Theory of Capital Asset Pricing," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 1, pages 11-30, World Scientific Publishing Co. Pte. Ltd..
    5. William F. Sharpe, 1965. "Mutual Fund Performance," The Journal of Business, University of Chicago Press, vol. 39, pages 119-119.
    6. Lehmann, Bruce N & Modest, David M, 1987. "Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons," Journal of Finance, American Finance Association, vol. 42(2), pages 233-265, June.
    7. Dybvig, Philip H & Ross, Stephen A, 1985. "The Analytics of Performance Measurement Using a Security Market Line," Journal of Finance, American Finance Association, vol. 40(2), pages 401-416, June.
    8. Roll, Richard, 1977. "A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory," Journal of Financial Economics, Elsevier, vol. 4(2), pages 129-176, March.
    9. Grinblatt, Mark & Titman, Sheridan, 1992. "The Persistence of Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 47(5), pages 1977-1984, December.
    10. Grinblatt, Mark & Titman, Sheridan D, 1989. "Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings," The Journal of Business, University of Chicago Press, vol. 62(3), pages 393-416, July.
    11. Mark Rubinstein, 1976. "The Valuation of Uncertain Income Streams and the Pricing of Options," Bell Journal of Economics, The RAND Corporation, vol. 7(2), pages 407-425, Autumn.
    12. Gregory Connor and Robert Korajczyk., 1987. "Risk and Return in an Equilibrium APT," Research Program in Finance Working Papers 174, University of California at Berkeley.
    13. Roll, Richard, 1978. "Ambiguity when Performance is Measured by the Securities Market Line," Journal of Finance, American Finance Association, vol. 33(4), pages 1051-1069, September.
    14. Admati, Anat R & Ross, Stephen A, 1985. "Measuring Investment Performance in a Rational Expectations Equilibrium Model," The Journal of Business, University of Chicago Press, vol. 58(1), pages 1-26, January.
    15. Fama, Eugene F, 1972. "Components of Investment Performance," Journal of Finance, American Finance Association, vol. 27(3), pages 551-567, June.
    16. Connor, Gregory & Korajczyk, Robert A., 1986. "Performance measurement with the arbitrage pricing theory : A new framework for analysis," Journal of Financial Economics, Elsevier, vol. 15(3), pages 373-394, March.
    17. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "An Intertemporal General Equilibrium Model of Asset Prices," Econometrica, Econometric Society, vol. 53(2), pages 363-384, March.
    18. Gonzalo Rubio., 1992. "Further Evidence on Performance Evaluation: Portfolio Holdings, Recommendations, and Turnover Costs," Research Program in Finance Working Papers RPF-222, University of California at Berkeley.
    19. Breeden, Douglas T., 1979. "An intertemporal asset pricing model with stochastic consumption and investment opportunities," Journal of Financial Economics, Elsevier, vol. 7(3), pages 265-296, September.
    20. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-887, September.
    21. Cornell, Bradford, 1979. "Asymmetric information and portfolio performance measurement," Journal of Financial Economics, Elsevier, vol. 7(4), pages 381-390, December.
    22. Grinblatt, Mark & Titman, Sheridan, 1983. "Factor pricing in a finite economy," Journal of Financial Economics, Elsevier, vol. 12(4), pages 497-507, December.
    23. Dybvig, Philip H & Ross, Stephen A, 1985. "Differential Information and Performance Measurement Using a Security Market Line," Journal of Finance, American Finance Association, vol. 40(2), pages 383-399, June.
    24. Gonzalo Rubio, 1992. "Further Evidence on Performance Evaluation: Portfolio Holdings, Recommendations, and Turnover Costs," CEPR Financial Markets Paper 0019, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 33 Great Sutton Street, London EC1V 0DX..
    25. Connor, Gregory, 1984. "A unified beta pricing theory," Journal of Economic Theory, Elsevier, vol. 34(1), pages 13-31, October.
    26. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    27. Brown, Stephen J, et al, 1992. "Survivorship Bias in Performance Studies," The Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 553-580.
    28. Elton, Edwin J. & Gruber, Martin J., 1991. "Differential information and timing ability," Journal of Banking & Finance, Elsevier, vol. 15(1), pages 117-131, February.
    29. Henriksson, Roy D, 1984. "Market Timing and Mutual Fund Performance: An Empirical Investigation," The Journal of Business, University of Chicago Press, vol. 57(1), pages 73-96, January.
    30. Merton, Robert C, 1981. "On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts," The Journal of Business, University of Chicago Press, vol. 54(3), pages 363-406, July.
    31. Cumby, Robert E & Glen, Jack D, 1990. "Evaluating the Performance of International Mutual Funds," Journal of Finance, American Finance Association, vol. 45(2), pages 497-521, June.
    32. Alonso, Aurora & Rubio, Gonzalo & Tusell, Fernando, 1990. "Asset pricing and risk aversion in the Spanish stock market," Journal of Banking & Finance, Elsevier, vol. 14(2-3), pages 351-369, August.
    33. Mark Grinblatt & Sheridan Titman, "undated". "Portfolio Performance Evaluation: Old Issues and New Insights," Rodney L. White Center for Financial Research Working Papers 22-88, Wharton School Rodney L. White Center for Financial Research.
    34. Bruce N. Lehmann & David M. Modest, 1985. "Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons," NBER Working Papers 1721, National Bureau of Economic Research, Inc.
    35. Black, Fischer, 1972. "Capital Market Equilibrium with Restricted Borrowing," The Journal of Business, University of Chicago Press, vol. 45(3), pages 444-455, July.
    36. Jagannathan, Ravi & Korajczyk, Robert A, 1986. "Assessing the Market Timing Performance of Managed Portfolios," The Journal of Business, University of Chicago Press, vol. 59(2), pages 217-235, April.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Matallin-Saez Juan Carlos, 2008. "The Dynamics of Mutual Funds and Market Timing Measurement," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(4), pages 1-37, December.
    2. Miguel Martinez Sedano, 2003. "Legal constraints, transaction costs and the evaluation of mutual funds," The European Journal of Finance, Taylor & Francis Journals, vol. 9(3), pages 199-218.
    3. Ana C. Díaz†Mendoza & Germán López†Espinosa & Miguel A. Martínez, 2014. "The Efficiency of Performance†Based Fee Funds," European Financial Management, European Financial Management Association, vol. 20(4), pages 825-855, September.
    4. Gil Bazo, Javier & Martínez Sedano, Miguel Ángel, 2004. "The Black Box of Mutual Fund Fees," DFAEII Working Papers 1988-088X, University of the Basque Country - Department of Foundations of Economic Analysis II.
    5. Luis Ferruz Agudo & José Luis Sarto Marzal, 1997. "Eficacia financiera aplicada en gestión de carteras y necesidad de nuevos índices de performance," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 8, pages 41-58, Diciembre.
    6. Angeles Fernandez-Izquierdo & Juan Matallin-Saez, 2008. "Performance of Ethical Mutual Funds in Spain: Sacrifice or Premium?," Journal of Business Ethics, Springer, vol. 81(2), pages 247-260, August.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Glosten, L. R. & Jagannathan, R., 1994. "A contingent claim approach to performance evaluation," Journal of Empirical Finance, Elsevier, vol. 1(2), pages 133-160, January.
    2. Ayadi, Mohamed A. & Kryzanowski, Lawrence, 2005. "Portfolio performance measurement using APM-free kernel models," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 623-659, March.
    3. William Goetzmann & Jonathan Ingersoll & Zoran Ivkovich, 1998. "Monthly Measurement of Daily Timers," Yale School of Management Working Papers ysm88, Yale School of Management, revised 01 Oct 2000.
    4. Heber Farnsworth & Wayne E. Ferson & David Jackson & Steven Todd, 2002. "Performance Evaluation with Stochastic Discount Factors," NBER Working Papers 8791, National Bureau of Economic Research, Inc.
    5. Anandi Sahu & Robert Kleiman & Joseph Callaghan, 1998. "The Timing and Stock Selection Abilities of Bank Funds: Evidence Based on Meta-Analysis," Journal of Financial Services Research, Springer;Western Finance Association, vol. 13(2), pages 137-152, April.
    6. Ferson, Wayne E., 2013. "Investment Performance: A Review and Synthesis," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 969-1010, Elsevier.
    7. Romacho, Joao Carlos & Cortez, Maria Ceu, 2006. "Timing and selectivity in Portuguese mutual fund performance," Research in International Business and Finance, Elsevier, vol. 20(3), pages 348-368, September.
    8. Cesari, Riccardo & Panetta, Fabio, 2002. "The performance of Italian equity funds," Journal of Banking & Finance, Elsevier, vol. 26(1), pages 99-126, January.
    9. Wayne E. Ferson & Ravi Jagannathan, 1996. "Econometric evaluation of asset pricing models," Staff Report 206, Federal Reserve Bank of Minneapolis.
    10. Connie Becker & Wayne Ferson & David Myers & Michael Schill, 1998. "Conditional Market Timing with Benchmark Investors," NBER Working Papers 6434, National Bureau of Economic Research, Inc.
    11. Shafiqur Rahman & Cheng-Few Lee & Yaqing Xiao, 2017. "The investment performance, attributes, and investment behavior of ethical equity mutual funds in the US: an empirical investigation," Review of Quantitative Finance and Accounting, Springer, vol. 49(1), pages 91-116, July.
    12. Christensen, Michael, 2005. "Danish Mutual Fund Performance - Selectivity, Market Timing and Persistence," Finance Research Group Working Papers F-2005-01, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    13. Joel Owen & Ramón Rabinovitch, 1999. "Ranking Portfolio Performance: An Application of a Joint Means and Variances Equality Test," Journal of Applied Economics, Universidad del CEMA, vol. 2, pages 97-130, May.
    14. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    15. Dong‐Hyun Ahn & H. Henry Cao & Stéphane Chrétien, 2009. "Portfolio Performance Measurement: a No Arbitrage Bounds Approach," European Financial Management, European Financial Management Association, vol. 15(2), pages 298-339, March.
    16. Elton, Edwin J. & Gruber, Martin J., 2013. "Mutual Funds," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1011-1061, Elsevier.
    17. Christensen, Michael, 2003. "Evaluating Danish Mutual Fund Performance," Finance Working Papers 03-4, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    18. Gallo, John G. & Swanson, Peggy E., 1996. "Comparative measures of performance for U.S.-based international equity mutual funds," Journal of Banking & Finance, Elsevier, vol. 20(10), pages 1635-1650, December.
    19. To, Minh Chau & Assoé, Kodjovi Gakpo, 1995. "Performance et commission de souscription des fonds mutuels canadiens," L'Actualité Economique, Société Canadienne de Science Economique, vol. 71(1), pages 27-52, mars.
    20. Fadillah Mansor & M. Ishaq Bhatti & Shafiqur Rahman & Hung Quang Do, 2020. "The Investment Performance of Ethical Equity Funds in Malaysia," JRFM, MDPI, vol. 13(9), pages 1-14, September.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:iec:inveco:v:17:y:1993:i:1:p:3-41. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Isabel Sánchez-Seco (email available below). General contact details of provider: https://www.fundacionsepi.es/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.