Journal of Financial Economics Vol. 65 No. 2 2002
Conditional performance measurement using portfolio weights: evidence for pension funds
Abstract
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.
- DOI
- 10.1016/s0304-405x(02)00140-x
- Volume
- 65
- Issue
- 2
- Pages
- 249-282
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref