Benchmarking Money Manager Performance: Issues and Evidence / Josef Lakonishok, Louis Chan, Stephen G. Dimmock.

Format:

Book

Author/Creator:

Lakonishok, Josef.

Contributor:

National Bureau of Economic Research.

Chan, Louis.

Dimmock, Stephen G.

Series:

Working Paper Series (National Bureau of Economic Research) no. w12461.

NBER working paper series no. w12461

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

Benchmarking Money Manager Performance

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2006.

Summary:

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.

Notes:

Print version record

August 2006.