Portfolio Performance Evaluation [推广有奖]

Portfolio Performance Evaluation (Foundations and Trends(R) in Finance)
By George, O. Aragon, Wayne, E. Ferson

Publisher:   Now Publishers Inc
Number Of Pages:   122
Publication Date:   2008
ISBN-13 / EAN:   9781601980823

Contents
1 Introduction 1
2 Classical Measures of Portfolio Performance 5
2.1 The Measures: An Overview 5
2.2 Properties of the Classical Measures 16
2.3 Professionally Managed Portfolios in Classical Measures 26
3 Conditional Performance Evaluation 35
3.1 Motivation and Example 36
3.2 Conditional Alphas 38
3.3 Conditional Market Timing 40
3.4 Conditional Weight-Based Measures 43
4 The Stochastic Discount Factor Approach 47
4.1 Relation to the Beta Pricing Approach 48
4.2 Estimation of SDF Alphas 49
5 Implementing the Measures: A Fund-of-Funds
Perspective 51
5.1 Evaluating a Set of Individual Hedge Funds 51
6 Bond Fund Performance Measurement 59
6.1 Fixed Income Models 59
7 Hedge Fund Performance 63
7.1 Data Issues 64
7.2 Dynamic Risk Exposures 65
7.3 Asset Illiquidity 66
8 Recent Empirical Evidence 67
8.1 Evidence on Conditional Alphas 67
8.2 Conditional Market Timing 68
8.3 Evidence from Weight-Based Measures 69
8.4 Stochastic Discount Factor Evidence 70
8.5 Pension Fund Evidence 71
8.6 Evidence on Bond Fund Performance 72
8.7 Evidence on Hedge Fund Performance 73
9 Evidence on Managed Portfolio Performance
and Market Efficiency 81
9.1 Market Efficiency and Portfolio Performance 81
9.2 Mutual Fund Examples 84
9.3 Hedge Fund Examples 88
10 Conclusions 97
Acknowledgments 99
References 101