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" Portfolio performance evaluation / "
George O. Aragon, Wayne E. Ferson.
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BL
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| Record Number
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1002876
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b757246
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| Main Entry
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Aragon, George O.
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| Title & Author
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Portfolio performance evaluation /\ George O. Aragon, Wayne E. Ferson.
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| Publication Statement
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Boston :: Now,, ©2008.
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| Series Statement
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Foundations and trends in finance ;; v. 2, no. 2
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| Page. NO
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1 online resource (ix, 111 pages)
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| ISBN
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1601980825
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: 1601980833
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: 9781601980823
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: 9781601980830
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9781601980823
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| Notes
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Offprint. Foundations and trends in finance (Online). Vol. 2, no. 2 (2006).
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Title from PDF title page (viewed Jan. 23, 2008).
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| Bibliographies/Indexes
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Includes bibliographical references.
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| Contents
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Abstract -- Introduction -- Classical measures of portfolio performance -- The measures: an overview -- Properties of the classical measures -- The evidence for professionally managed portfolios using classical measures -- Conditional performance evaluation -- Motivation and example -- Conditional alphas -- Conditional market timing -- Conditional weight-based measures -- The stochastic discount factor approach -- Relation to the beta pricing approach -- Estimation of SDF alphas -- Implementing the measures: a fund-of-funds perspective -- Evaluating a set of individual hedge funds -- Bond fund performance measurement -- Fixed income models -- Hedge fund performance -- Data issues -- Dynamic risk exposures -- Asset illiquidity -- Recent empirical evidence -- Evidence on conditional alphas -- Conditional market timing -- Evidence from weight-based measures -- Stochastic discount factor evidence -- Pension fund evidence -- Evidence on bond fund performance -- Evidence on hedge fund performance -- A summary: the evidence on managed portfolio performance and market efficiency -- Market efficiency and portfolio performance -- Mutual fund examples -- Hedge fund examples -- Conclusions -- Acknowledgements -- References -- Updates.
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| Abstract
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This paper provides a review of the methods for measuring portfolio performance and the evidence on the performance of professionally managed investment portfolios. Traditional performance measures, strongly influenced by the Capital Asset Pricing Model of Sharpe (1964), were developed prior to 1990. We discuss some of the properties and important problems associated with these measures. We then review the more recent Conditional Performance Evaluation techniques, designed to allow for expected returns and risks that may vary over time, and thus addressing one major shortcoming of the traditional measures. We also discuss weight-based performance measures and the stochastic discount factor approach. We review the evidence that these newer measures have produced on selectivity and market timing ability for professional managed investment funds. The evidence includes equity style mutual funds, pension funds, asset allocation style funds, fixed income funds and hedge funds.
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| Subject
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Portfolio management.
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| Subject
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BUSINESS ECONOMICS-- Investments Securities-- General.
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| Subject
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Portfolio management.
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| Dewey Classification
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332.6
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| LC Classification
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HG4529.5.A73 2008eb
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| Added Entry
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Ferson, Wayne E.
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