Performance Measurement of Mutual Funds, Hedge Funds, and Institutional Accounts
University of Maryland - Robert H. Smith School of Business
September 1, 2011
Annual Review of Financial Economics, Forthcoming
This review describes several important recent advances in the measurement of the performance of actively managed portfolios. For returns-based performance evaluation, we discuss several innovations, such as conditional performance evaluation, Bayesian approaches, and a new multiple-testing approach – the false-discovery rate. For portfolio holdings – based performance evaluation, our discussion ranges from extensions of the standard Daniel, Grinblatt, Titman, and Wermers (DGTW) stock return adjustment procedure to conditional holdings-based approaches. Applications of these approaches in the mutual fund, hedge fund, and institutional account universes are presented.
Keywords: mutual funds, hedge funds, institutional investors, pension funds, performance evaluation
JEL Classification: G14, G23Accepted Paper Series
Date posted: October 20, 2011
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