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Conditional performance measurement using portfolio weights : evidence for pension funds

Author: Wayne E Ferson; Kenneth Khang; National Bureau of Economic Research.
Publisher: Cambridge, MA. : National Bureau of Economic Research, ©2002.
Series: Working paper series (National Bureau of Economic Research), no. 8790.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Wayne E Ferson; Kenneth Khang; National Bureau of Economic Research.
OCLC Number: 49751925
Notes: "February 2002."
Description: 1 online resource (47, [9] pages).
Series Title: Working paper series (National Bureau of Economic Research), no. 8790.
Responsibility: Wayne Ferson, Kenneth Khang.

Abstract:

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.

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