Publication Type
Conference Paper
Version
acceptedVersion
Publication Date
8-2005
Abstract
We evaluate the relative performance of funds by conditioning their returns on the cross-section of portfolio characteristics across fund managers. Our implied procedure circumvents the need to specify benchmark returns or peer funds. Instead, fund-specific benchmarks for measuring selection and market timing ability are constructed. This technique is robust to herding as well as window dressing and mitigates survivorship bias. Empirically, the conditional information contained in portfolio weights defined by industry sectors, assets and geographical regions is critically important to the assessment of fund management. For each set of portfolio characteristics, we identify funds with success at either selecting securities or timing-the-market.
Keywords
Performance Measurement, Relative Performance
Discipline
Finance and Financial Management | Portfolio and Security Analysis
Research Areas
Finance
Publication
European Finance Association Meeting, Moscow, 24-27 August 2005
First Page
1
Last Page
36
City or Country
Moscow, Russia
Citation
HOGAN, Steve and WARACHKA, Mitchell Craig.
Implied Measures of Relative Fund Performance. (2005). European Finance Association Meeting, Moscow, 24-27 August 2005. 1-36.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/1890
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.