Performance Measurement of Mutual Funds, Hedge Funds, and Institutional Accounts

Russell Wermers ()

Annual Review of Financial Economics, 2011, vol. 3, issue 1, 537-574

Abstract: This review describes several important recent advances in the measurement of the performance of actively managed portfolios. For returns-based performance evaluation, we discuss several innovations, such as conditional performance evaluation, Bayesian approaches, and a new multiple-testing approach—the false-discovery rate. For portfolio holdings–based performance evaluation, our discussion ranges from extensions of the standard Daniel, Grinblatt, Titman, and Wermers (DGTW) stock return adjustment procedure to conditional holdings-based approaches. Applications of these approaches in the mutual fund, hedge fund, and institutional account universes are presented.

Keywords: portfolio performance; alpha; performance evaluation; performance attribution (search for similar items in EconPapers)
JEL-codes: G11 G20 G23 (search for similar items in EconPapers)
Date: 2011
References: Add references at CitEc
Citations: View citations in EconPapers (18)

Downloads: (external link)
http://www.annualreviews.org/doi/abs/10.1146/annurev-financial-102710-144856 (application/pdf)
Full text downloads are only available to subscribers. Visit the abstract page for more information.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:anr:refeco:v:3:y:2011:p:537-574

Ordering information: This journal article can be ordered from
http://www.annualreviews.org/action/ecommerce

Access Statistics for this article

More articles in Annual Review of Financial Economics from Annual Reviews Annual Reviews 4139 El Camino Way Palo Alto, CA 94306, USA.
Bibliographic data for series maintained by http://www.annualreviews.org ().