Investment Performance Evaluation
Wayne E. Ferson
CenFIS Working Paper 10-01
This paper provides a review of the rapidly developing literature on investment performance evaluation. The goals are to summarize the significant forces and contributions that have brought this field of research to its current state of knowledge and to suggest directions for future research. This review is written for readers who are familiar with financial economics but not the specific literature and who wish to become familiar with the current state of the art. Suggestions for future research include refinements to portfolio holdings–based performance measures, a more balanced treatment of costs, and clientele-specific measures of investment performance.
JEL classification: G11, G23
Key words: mutual funds, hedge funds, bond funds, stochastic discount factors, portfolio holdings, portfolio management, alpha, market timing, investor clienteles
The author acknowledges financial support from the Ivadelle and Theodore Johnson Chair in Banking and Finance at the Marshall School of Business, University of Southern California, and the hospitality of the Center for Financial Innovation and Stability at the Federal Reserve Bank of Atlanta.
Please address questions regarding content to Wayne E. Ferson, Ivadelle and Theodore Johnson Chair in Banking and Finance, Marshall School of Business, University of Southern California, 3670 Trousdale Parkway, Suite 308, Los Angeles, CA 90089-0804, 213-740-6515, firstname.lastname@example.org, www-rcf.usc.edu/~ferson/.
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