Judging Fund Managers by the Company They Keep

Randolph B. Cohen, Joshua D. Coval and Lubos Pastor

Journal of Finance, 2005, vol. 60, issue 3, 1057-1096

Abstract: We develop a performance evaluation approach in which a fund manager's skill is judged by the extent to which the manager's investment decisions resemble the decisions of managers with distinguished performance records. The proposed performance measures use historical returns and holdings of many funds to evaluate the performance of a single fund. Simulations demonstrate that our measures are particularly useful in ranking managers. In an application that relies on such ranking, our measures reveal strong predictability in the returns of U.S. equity funds. Our measures provide information about future fund returns that is not contained in the standard measures.

Date: 2005
References: Add references at CitEc
Citations: View citations in EconPapers (105)

Downloads: (external link)
https://doi.org/10.1111/j.1540-6261.2005.00756.x

Related works:
Working Paper: Judging Fund Managers by the Company They Keep (2003)
Working Paper: Judging Fund Managers by the Company They Keep (2002)
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:bla:jfinan:v:60:y:2005:i:3:p:1057-1096

Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp

Access Statistics for this article

More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().