Performance measurement with selectivity, market and volatility timing

• 成果类型: Article
• 署名作者: Ferson, Wayne; Mo, Haitao
• 署名单位: University of Southern California; National Bureau of Economic Research; Louisiana State University System; Louisiana State University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2016.02.012
• 发表日期: 2016
• 页码: 93-110
• 关键词: mutual funds; Performance measurement; stochastic discount factor; Market timing; volatility

摘要

The performance of portfolio managers depends on market timing, volatility timing, and security selection. We develop holdings-based performance measures that adjust for risk using stochastic discount factors, display all three components in a consistent framework, and avoid strong assumptions about managers' behavior. Previous models leave out some of the components of performance, and correcting for this we deliver better measures of selectivity. Sorting stocks held by funds on selectivity produces a quintile spread in four factor alphas greater than 2.5% per year before costs and more than 1.7% greater than found using the Daniel, Grinblatt, Titman, and Wermers (1997) measure. (c) 2016 Elsevier B.V. All rights reserved.