Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds

Wayne Ferson (ferson@marshall.usc.edu) and Kenneth Khang

No 8790, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper combines the use of portfolio holdings data and conditioning information to create a new performance measure. Our conditional weight-based measure has several advantages. Using conditioning information avoids biases in weight-based measures as discussed by Grinblatt and Titman (1993). When conditioning information is used, returns-based measures face a bias if managers can trade between observation dates. The new measures avoid this interim trading bias. We use the new measures to provide fresh insights about performance in a sample of U.S. equity pension fund managers.

JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2002-02
Note: AP
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (79)

Published as Ferson, Wayne and Kenneth Khang. "Conditional Performance Measurement Using Portfolio Weights: Evidence For Pension Funds," Journal of Financial Economics, 2002, v65(2,Aug), 249-282.

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