Performance Measurement of Mutual Funds, Hedge Funds, and Institutional Accounts

Posted: 20 Oct 2011

See all articles by Russ Wermers

Russ Wermers

University of Maryland - Robert H. Smith School of Business

Multiple version iconThere are 2 versions of this paper

Date Written: September 1, 2011

Abstract

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, G23

Suggested Citation

Wermers, Russell R., Performance Measurement of Mutual Funds, Hedge Funds, and Institutional Accounts (September 1, 2011). Annual Review of Financial Economics, Forthcoming. Available at SSRN: https://ssrn.com/abstract=1946070

Russell R. Wermers (Contact Author)

University of Maryland - Robert H. Smith School of Business ( email )

Department of Finance
College Park, MD 20742-1815
United States
301-405-0572 (Phone)
301-405-0359 (Fax)

HOME PAGE: http://www.rhsmith.umd.edu/finance/rwermers/

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