Conditional performance measurement using portfolio weights: evidence for pension funds

被引:64
作者
Ferson, W
Khang, K
机构
[1] Boston Coll, Carroll Sch Management, Chestnut Hill, MA 02467 USA
[2] Natl Bur Econ Res, Cambridge, MA 02138 USA
[3] Univ Wisconsin, Sch Business Adm, Milwaukee, WI 53201 USA
关键词
performance evaluation; pension funds; conditioning; portfolio weights;
D O I
10.1016/S0304-405X(02)00140-X
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
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 (J. Business 60 (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. (C) 2002 Elsevier Science B.V. All rights reserved.
引用
收藏
页码:249 / 282
页数:34
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