Evaluating government bond fund performance with stochastic discount factors

• 成果类型: Article; Proceedings Paper
• 署名作者: Ferson, W; Henry, TR; Kisgen, DJ
• 署名单位: Boston College; National Bureau of Economic Research; University System of Georgia; University of Georgia
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhj015
• 发表日期: 2006
• 页码: 423
• 关键词: term structure; generalized-method; sample properties; Expected returns; tests; models; RISK; equilibrium; moments; biases

摘要

This article shows how to evaluate the performance of managed portfolios using stochastic discount factors (SDFs) from continuous-time term structure models. These models imply empirical factors that include time averages of the underlying state variables. The approach addresses a performance measurement bias, described by Goetzmann, Ingersoll, and Ivkovic (2000) and Ferson and Khang (2002), arising because fund managers may trade within the return measurement interval or hold positions in replicable options. The empirical factors contribute explanatory power in factor model regressions and reduce model pricing errors. We illustrate the approach on US government bond funds during 1986-2000.