Judging Fund Managers By The Company They Keep  

Oleh:

Cohen, Randolph B. ; Coval, Joshua D. ; Pastor, Lubos

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 60 no. 3 (Jun. 2005), page 1057-1096.
Topik: FUND; performance evaluation; investment advisors; studies; mathematical models; rates of return
Fulltext: p 1057.pdf (281.63KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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We develop a performance evaluation approach in which a fund manager's skill is judged by the extent to which the manager's investment decisions resemble the decisions of managers with distinguished performance records. The proposed performance measures use historical returns and holdings of many funds to evaluate the performance of a single fund. Simulations demonstrate that our measures are particularly useful in ranking managers. In an application that relies on such ranking, our measures reveal strong predictability in the returns of US equity funds. Our measures provide information about future fund returns that is not contained in the standard measures.

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