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

Posted: 10 Jan 2012

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: December 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.

Suggested Citation

Wermers, Russell R., Performance Measurement of Mutual Funds, Hedge Funds, and Institutional Accounts (December 2011). Annual Review of Financial Economics, Vol. 3, pp. 537-574, 2011. Available at SSRN: https://ssrn.com/abstract=1981857 or http://dx.doi.org/10.1146/annurev-financial-102710-144856

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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