Performance measurement and evaluation

Bruce Lehmann and Allan Timmermann

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: We consider performance measurement and evaluation for managed funds. Similarities and differences−both in econometric practice and in interpretation of outcomes of empirical tests−between performance measurement and conventional asset pricing models are analyzed. We also discuss how inference on ‘skill’ is affected when fund managers have market timing information. Performance testing based on portfolio weights is also covered as is recent developments in Bayesian models of performance measurement that can accommodate errors in the benchmark asset pricing model.

JEL-codes: G00 (search for similar items in EconPapers)
Pages: 78 pages
Date: 2007-04-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:24505

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