Publication Type

Conference Paper

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

Additional URL

http://ssrn.com/abstract=661721

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