Performance Measurement and Evaluation [chapter]

Bruce Lehmann, Allan Timmermann
2008 Handbook of Financial Intermediation and Banking  
We consider performance measurement and evaluation for managed funds. Similarities and di¤erences both in econometric practice and in interpretation of outcomes of empirical tests between performance measurement and conventional asset pricing models are analyzed. We also discuss how inference on 'skill' is a¤ected when fund managers have market timing information. Performance testing based on portfolio weights is also covered as is recent developments in Bayesian models of performance
more » ... rformance measurement that can accommodate errors in the benchmark asset pricing model.
doi:10.1016/b978-044451558-2.50013-1 fatcat:6b6wy6cmjnarjoycvl52jffowm