Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/100242
Title: Benchmarking money manager performance : issues and evidence
Authors: Chan, Louis K. C.
Dimmock, Stephen G.
Lakonishok, Josef
Keywords: DRNTU::Business::Finance::Money
Issue Date: 2009
Source: Chan, L. K. C., Dimmock, S. G., & Lakonishok, J. (2009). Benchmarking Money Manager Performance: Issues and Evidence. The Review of Financial Studies, 4553-4599.
Series/Report no.: The review of financial studies
Abstract: 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.
URI: https://hdl.handle.net/10356/100242
http://hdl.handle.net/10220/17808
ISSN: 1556-5068
DOI: http://dx.doi.org/10.2139/ssrn.921915
Rights: © The Author 2009. Published by Oxford University Press on behalf of The Society for Financial Studies.
metadata.item.grantfulltext: none
metadata.item.fulltext: No Fulltext
Appears in Collections:NBS Journal Articles

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