Investment Performance: A Review and Synthesis

Wayne E. Ferson

Chapter Chapter 14 in Handbook of the Economics of Finance, 2013, vol. 2, pp 969-1010 from Elsevier

Abstract: This chapter provides a perspective on the rapidly developing literature on investment performance evaluation. I use the stochastic discount factor approach to present and critique current performance measurement techniques in a unified setting. I offer a number of suggestions to improve performance measurement in future research. I also review recent research on the performance of mutual funds, hedge funds, pension funds, and other investment vehicles.

Keywords: Mutual funds; Hedge funds; Bond funds; Stochastic discount factors; Portfolio holdings; Bootstrap; Market efficiency; Portfolio management; G11; G14; G23 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finchp:2-b-969-1010

DOI: 10.1016/B978-0-44-459406-8.00014-7

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