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 (19)

Downloads: (external link)
http://www.annualreviews.org/doi/abs/10.1146/annurev-financial-102710-144856 (application/pdf)

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
https://www.annualre ... /general-information

Access Statistics for this article

More articles in Annual Review of Financial Economics from Annual Reviews Annual Reviews 1825 S Grant St., Suite 710 San Mateo, CA 94402 USA.
Bibliographic data for series maintained by http://www.annualreviews.org ().