Benchmarking Money Manager Performance: Issues and Evidence /
Lakonishok, Josef.
Benchmarking Money Manager Performance: Issues and Evidence / Josef Lakonishok, Louis Chan, Stephen G. Dimmock. - Cambridge, Mass. National Bureau of Economic Research 2006. - 1 online resource: illustrations (black and white); - NBER working paper series no. w12461 . - Working Paper Series (National Bureau of Economic Research) no. w12461. .
August 2006.
Academic and practitioner research yields a proliferation of methods using size and value/growth attributes or factors to evaluate portfolio performance. We assess the relative merits of several of the most widely-used procedures, including variants of matched-characteristic benchmark portfolios and time-series return regressions, by applying them to a sample of active money managers and passive indexes. Estimated abnormal returns display large variation across approaches. The benchmarks most widely used in academic research --- attribute-matched portfolios from independent sorts, the conventional three-factor time series model, and cross-sectional regressions of returns on stock characteristics --- have poor ability to track returns. Simple alterations are provided that improve the performance of the methods.
System requirements: Adobe [Acrobat] Reader required for PDF files.
Mode of access: World Wide Web.
Benchmarking Money Manager Performance: Issues and Evidence / Josef Lakonishok, Louis Chan, Stephen G. Dimmock. - Cambridge, Mass. National Bureau of Economic Research 2006. - 1 online resource: illustrations (black and white); - NBER working paper series no. w12461 . - Working Paper Series (National Bureau of Economic Research) no. w12461. .
August 2006.
Academic and practitioner research yields a proliferation of methods using size and value/growth attributes or factors to evaluate portfolio performance. We assess the relative merits of several of the most widely-used procedures, including variants of matched-characteristic benchmark portfolios and time-series return regressions, by applying them to a sample of active money managers and passive indexes. Estimated abnormal returns display large variation across approaches. The benchmarks most widely used in academic research --- attribute-matched portfolios from independent sorts, the conventional three-factor time series model, and cross-sectional regressions of returns on stock characteristics --- have poor ability to track returns. Simple alterations are provided that improve the performance of the methods.
System requirements: Adobe [Acrobat] Reader required for PDF files.
Mode of access: World Wide Web.