A contingent claim approach to performance evaluation

Lawrence R. Glosten and Ravi Jagannathan

No 159, Staff Report from Federal Reserve Bank of Minneapolis

Abstract: We show that valuing performance is equivalent to valuing a particular contingent claim on an index portfolio. In general the form of the contingent claim is not known and must be estimated. We suggest approximating the contingent claim by a series of options. We illustrate the use of our method by evaluating the performance of 130 mutual funds during the period 1968?82. We find that the relative performance rank of a fund is rather insensitive to the choice of the index, even though the actual value of the services of the portfolio manager depends on the choice of the index.

Keywords: Mutual; funds (search for similar items in EconPapers)
Date: 1993
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Citations: View citations in EconPapers (3)

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Journal Article: A contingent claim approach to performance evaluation (1994)
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