TY  - BOOK
AU  - Lakonishok,Josef
AU  - Chan,Louis
AU  - Dimmock,Stephen G.
ED  - National Bureau of Economic Research.
TI  - Benchmarking Money Manager Performance: Issues and Evidence 
T2  - NBER working paper series
PY  - 2006///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - August 2006; Hardcopy version available to institutional subscribers
N2  - 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
UR  - https://www.nber.org/papers/w12461
UR  - http://dx.doi.org/10.3386/w12461
ER  -