Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds

58 Pages Posted: 14 Feb 2002 Last revised: 26 Oct 2010

See all articles by Wayne E. Ferson

Wayne E. Ferson

University of Southern California; National Bureau of Economic Research (NBER)

Kenneth Khang

University of Wisconsin - Milwaukee

Multiple version iconThere are 3 versions of this paper

Date Written: February 2002

Abstract

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.

Suggested Citation

Ferson, Wayne E. and Khang, Kenneth, Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds (February 2002). NBER Working Paper No. w8790. Available at SSRN: https://ssrn.com/abstract=300752

Wayne E. Ferson (Contact Author)

University of Southern California ( email )

2250 Alcazar Street
Los Angeles, CA 90089
United States

HOME PAGE: http://www-rcf.usc.edu/~ferson/

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Kenneth Khang

University of Wisconsin - Milwaukee

Bolton Hall 802
3210 N. Maryland Ave.
Milwaukee, WI 53211
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
71
rank
22,910
Abstract Views
1,807
PlumX Metrics
!

Under construction: SSRN citations while be offline until July when we will launch a brand new and improved citations service, check here for more details.

For more information