Conditional performance measurement using portfolio weights: evidence for pension funds

• 成果类型: Article
• 署名作者: Ferson, W; Khang, K
• 署名单位: Boston College; National Bureau of Economic Research; University of Wisconsin System; University of Wisconsin Milwaukee
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(02)00140-X
• 发表日期: 2002
• 页码: 249-282
• 关键词: PERFORMANCE EVALUATION; Pension funds; conditioning; portfolio weights

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.