Judging Fund Managers by the Company They Keep

Joshua Coval, Pástor, Luboš and Randolph Cohen
Authors registered in the RePEc Author Service: Lubos Pastor

No 3717, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We develop a performance evaluation approach in which a fund manager's skill is judged by the extent to which his investment decisions resemble the decisions of managers with distinguished performance records. The proposed performance measures are estimated more precisely than standard measures, because they use historical returns and holdings of many funds to evaluate the performance of a single fund. According to one of our measures, funds with significantly positive ability considerably outnumber funds with significantly negative ability at the end of our sample. Simulations demonstrate that our measures are particularly useful in ranking managers. In an application that relies on such ranking, we find only weak persistence in the performance of US equity funds after accounting for momentum in stock returns.

Keywords: Mutual funds; Performance evaluation; Persistence (search for similar items in EconPapers)
JEL-codes: G10 (search for similar items in EconPapers)
Date: 2003-01
New Economics Papers: this item is included in nep-fin and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://cepr.org/publications/DP3717 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
Journal Article: Judging Fund Managers by the Company They Keep (2005)
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:cpr:ceprdp:3717

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP3717

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().