Benchmarking money manager performance : issues and evidence

• Main Authors: Chan, Louis K. C., Dimmock, Stephen G., Lakonishok, Josef
• Other Authors: Nanyang Business School
• Format: Article
• Language: English
• Published: 2013
• Subjects: DRNTU::Business::Finance::Money
• Online Access: https://hdl.handle.net/10356/100242; http://hdl.handle.net/10220/17808
• Institution: Nanyang Technological University

Academic and practitioner research yields a proliferation of methods using size and value/growth attributes or factors to evaluate portfolio performance. We assess the relative merits of several of the most widely-used procedures, including variants of matched-characteristic benchmark portfolios and...