Benchmarking money manager performance : issues and evidence
Academic and practitioner research yields a proliferation of methods using size and value/growth attributes or factors to evaluate portfolio performance. We assess the relative merits of several of the most widely-used procedures, including variants of matched-characteristic benchmark portfolios and...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Journal Article |
| Language: | English |
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2013
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| Online Access: | https://hdl.handle.net/10356/100242 http://hdl.handle.net/10220/17808 |
| _version_ | 1824455565282115584 |
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| author | Chan, Louis K. C. Dimmock, Stephen G. Lakonishok, Josef |
| author2 | Nanyang Business School |
| author_facet | Nanyang Business School Chan, Louis K. C. Dimmock, Stephen G. Lakonishok, Josef |
| author_sort | Chan, Louis K. C. |
| collection | NTU |
| description | Academic and practitioner research yields a proliferation of methods using size and value/growth attributes or factors to evaluate portfolio performance. We assess the relative merits of several of the most widely-used procedures, including variants of matched-characteristic benchmark portfolios and 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 most widely used in academic research - attribute-matched portfolios from independent sorts, the conventional three-factor time series model, and cross-sectional regressions of returns on stock characteristics - have poor ability to track returns. Simple alterations are provided that improve the performance of the methods. |
| first_indexed | 2025-02-19T03:40:14Z |
| format | Journal Article |
| id | ntu-10356/100242 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2025-02-19T03:40:14Z |
| publishDate | 2013 |
| record_format | dspace |
| spelling | ntu-10356/1002422023-05-19T06:44:43Z Benchmarking money manager performance : issues and evidence Chan, Louis K. C. Dimmock, Stephen G. Lakonishok, Josef Nanyang Business School DRNTU::Business::Finance::Money Academic and practitioner research yields a proliferation of methods using size and value/growth attributes or factors to evaluate portfolio performance. We assess the relative merits of several of the most widely-used procedures, including variants of matched-characteristic benchmark portfolios and 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 most widely used in academic research - attribute-matched portfolios from independent sorts, the conventional three-factor time series model, and cross-sectional regressions of returns on stock characteristics - have poor ability to track returns. Simple alterations are provided that improve the performance of the methods. 2013-11-21T04:13:08Z 2019-12-06T20:19:05Z 2013-11-21T04:13:08Z 2019-12-06T20:19:05Z 2009 2009 Journal Article Chan, L. K. C., Dimmock, S. G., & Lakonishok, J. (2009). Benchmarking Money Manager Performance: Issues and Evidence. The Review of Financial Studies, 4553-4599. 1556-5068 https://hdl.handle.net/10356/100242 http://hdl.handle.net/10220/17808 10.2139/ssrn.921915 en The review of financial studies © The Author 2009. Published by Oxford University Press on behalf of The Society for Financial Studies. 61 p. |
| spellingShingle | DRNTU::Business::Finance::Money Chan, Louis K. C. Dimmock, Stephen G. Lakonishok, Josef Benchmarking money manager performance : issues and evidence |
| title | Benchmarking money manager performance : issues and evidence |
| title_full | Benchmarking money manager performance : issues and evidence |
| title_fullStr | Benchmarking money manager performance : issues and evidence |
| title_full_unstemmed | Benchmarking money manager performance : issues and evidence |
| title_short | Benchmarking money manager performance : issues and evidence |
| title_sort | benchmarking money manager performance issues and evidence |
| topic | DRNTU::Business::Finance::Money |
| url | https://hdl.handle.net/10356/100242 http://hdl.handle.net/10220/17808 |
| work_keys_str_mv | AT chanlouiskc benchmarkingmoneymanagerperformanceissuesandevidence AT dimmockstepheng benchmarkingmoneymanagerperformanceissuesandevidence AT lakonishokjosef benchmarkingmoneymanagerperformanceissuesandevidence |