Investment Performance Evaluation

Wayne E. Ferson ()
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Wayne E. Ferson: Marshall School of Business, University of Southern California, Los Angeles, California 90089

Annual Review of Financial Economics, 2010, vol. 2, issue 1, 207-234

Abstract: This article 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 a reader who is familiar with financial economics but not the specific literature and who wishes 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.

Keywords: mutual funds; hedge funds; bond funds; stochastic discount factors; portfolio holdings; portfolio management; alpha; market timing; investor clienteles (search for similar items in EconPapers)
JEL-codes: G11 G23 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (22)

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