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Mutual Fung Performance: An Analysis Of Quarterly Portfolio Holdings

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Mutual Fung Performance: An Analysis Of Quarterly Portfolio Holdings

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This paper provides a review of the methods for measuring portfo- lio performance and the evidence on the performance of profession- ally managed investment portfolios. Traditional performance measures, strongly influenced by the Capital Asset Pricing Model of Sharpe (1964), were developed prior to 1990. We discuss some of the prop- erties and important problems associated with these measures. We then review the more recent Conditional Performance Evaluation tech- niques, designed to allow for expected returns and risks that may vary over time, and thus addressing one major shortcoming of the traditional measures. We also discuss weight-based performance measures and the stochastic discount factor approach. ...

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