Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds
58 Pages Posted: 14 Feb 2002 Last revised: 26 Oct 2010
Date Written: February 2002
This paper combines the use of portfolio holdings data and conditioning information to create a new performance measure. Our conditional weight-based measure has several advantages. Using conditioning information avoids biases in weight-based measures as discussed by Grinblatt and Titman (1993). When conditioning information is used, returns-based measures face a bias if managers can trade between observation dates. The new measures avoid this interim trading bias. We use the new measures to provide fresh insights about performance in a sample of U.S. equity pension fund managers.
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