Implied Measures of Relative Fund Performance

• Main Authors: HOGAN, Steve, WARACHKA, Mitchell Craig
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2005
• Subjects: Performance Measurement; Relative Performance; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/1890; https://ink.library.smu.edu.sg/context/lkcsb_research/article/2889/viewcontent/WarachkaM2005EFA.pdf
• Institution: Singapore Management University

We evaluate the relative performance of funds by conditioning their returns on the cross-section of portfolio characteristics across fund managers. Our implied procedure circumvents the need to specify benchmark returns or peer funds. Instead, fund-specific benchmarks for measuring selection and mar...