Review of Financial Studies Vol. 22 No. 11 2009
Benchmarking Money Manager Performance: Issues and Evidence
Abstract
[Academic and practitioner research evaluates portfolio performance using size and value/growth attributes or factors. We assess the merits of popular evaluation procedures based on matched-characteristic benchmark portfolios or time-series return regressions by applying them to a sample of active money managers and passive indexes. Estimated abnormal returns display large variation across approaches. The benchmarks typically used in academic research—attribute-matched portfolios from independent sorts, the three-factor time-series model, and cross-sectional regressions of returns on stock characteristics—track returns poorly. Some simple alterations improve the performance of these methods.]
- Volume
- 22
- Issue
- 11
- Pages
- 4553-4599
- Sources
- bibtex:phds-export.bib