Implied Measures of Relative Fund Performance

Financial Markets and Portfolio Management, Vol. 22, No. 1, pp. 47-66, 2008

Posted: 16 Jun 2008

See all articles by Steve Hogan

Steve Hogan

affiliation not provided to SSRN

Mitch Warachka

Chapman University - The George L. Argyros College of Business and Economics

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Abstract

We evaluate the relative performance of funds by conditioning their returns on the cross-section of portfolio characteristics across fund managers. Our implied procedure circumvents the need to specify benchmark returns or peer funds. Instead, fund-specific benchmarks for measuring selection and market timing ability are constructed. This technique is robust to herding as well as window dressing and mitigates survivorship bias. Empirically, the conditional information contained in portfolio weights defined by industry sectors, assets, and geographical regions is important to the assessment of fund management. For each set of portfolio characteristics, we identify funds with success at either selecting securities or timing-the-market.

Keywords: Relative performance, Fund management

JEL Classification: G11

Suggested Citation

Hogan, Steve and Warachka, Mitch, Implied Measures of Relative Fund Performance. Financial Markets and Portfolio Management, Vol. 22, No. 1, pp. 47-66, 2008, Available at SSRN: https://ssrn.com/abstract=1115853

Steve Hogan

affiliation not provided to SSRN ( email )

Mitch Warachka (Contact Author)

Chapman University - The George L. Argyros College of Business and Economics ( email )

1 University Drive
Orange, CA 92866
United States

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