Conditional Performance Evaluation

Wayne E. Ferson ()
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Wayne E. Ferson: University of Southern California

Chapter 11 in Encyclopedia of Finance, 2022, pp 639-650 from Springer

Abstract: Abstract Measures for evaluating the performance of a mutual fund or other managed portfolio are interpreted as the difference between the average return of the fund and that of an appropriate benchmark portfolio. Traditional measures use a fixed benchmark to match the average risk of the fund. Conditional performance measures use a dynamic strategy as the benchmark, matching the fund’s risk dynamics. The logic of this approach is explained, the models are described and the empirical evidence is reviewed.

Keywords: Alpha; Benchmark portfolio; Conditional alpha; Conditional beta; Investment performance; Market efficiency; Market timing; Mutual funds; Pension funds; Portfolio weights; Risk dynamics; Security selection; Stochastic discount factor (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/978-3-030-91231-4_11

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