References.(Portfolio Performance Evaluation)
Ackermann, C., R. McEnally, and D. Ravenscraft (1999), 'The
performance of hedge funds: Risk, return, and incentives'. Journal
of Finance 54, 833-874.
Admati, A. R., S. Bhattacharya, P. . . .
Acknowledgments.(Portfolio Performance Evaluation)
Ferson acknowledges financial support from the Collins Chair in
Finance at Boston College and the Marshall School of Business at the
University of Southern California. We are grateful to Stephen . . .
10 Conclusions.(Portfolio Performance Evaluation)(Brief
article)
We have reviewed the models and methods for measuring portfolio
performance and the evidence on the performance of professionally
managed investment portfolios. Our review includes traditional . . .
9 A summary: the evidence on managed portfolio performance and
market efficiency.(Portfolio Performance Evaluation)
The evidence on the performance of professionally managed
portfolios relates to the classical question of the informational
efficiency of the markets, as summarized by Fama (1970). This . . .
8 Recent empirical evidence.(Portfolio Performance
Evaluation)
8.1 Evidence on Conditional Alphas
Ferson and Schadt (1996) find evidence that funds' risk
exposures change significantly in response to variables that represent
public information on the . . .
7 Hedge fund performance.(Portfolio Performance
Evaluation)
Hedge funds have been in business for over 60 years. However, the
recent growth in hedge fund assets and the significant attention devoted
to hedge funds in the popular press has increased the . . .
6 Bond fund performance measurement.(Portfolio Performance
Evaluation)
6.1 Fixed Income Models
Elton et al. (1993; 1995) were the seminal academic studies of the
performance of bond style mutual funds. They used versions of the
classical multibeta model alphas . . .
5 Implementing the measures: a fund-of-funds
perspective.(Portfolio Performance Evaluation)
This chapter provides a hypothetical application of the techniques
used to evaluate a given set of portfolios. The main goal is to
illustrate the required steps for avoiding the pitfalls associated . . .
4 The stochastic discount factor approach.(Portfolio Performance
Evaluation)
Modern asset pricing theory posits the existence of a stochastic
discount factor, [m.sub.t+1], which is a scalar random variable, such
that the following equation holds:
E([m.sub.t+1]pR.sub.t+1] . . .
3 Conditional performance evaluation.(Portfolio Performance
Evaluation)
Traditional measures of risk-adjusted performance for mutual funds
compare the average return of a fund with an OE benchmark designed to
control for the fund's average risk. For example, . . .
2 Classical measures of portfolio performance.(Portfolio
Performance Evaluation)
This chapter provides an overview of the classical measures of
risk-adjusted portfolio performance. We first describe the general logic
that lies behind all of the measures, and then define the . . .
1 Introduction.(Portfolio Performance Evaluation)
This is a good time for a review of the academic literature on
evaluating portfolio performance, concentrating on professionally
managed investment portfolios. While the literature goes back to . . .
Portfolio performance evaluation.(Brief article)
Abstract
This paper provides a review of the methods for measuring portfolio
performance and the evidence on the performance of professionally
managed investment portfolios. Traditional . . .
References.(Valuation Approaches and Metrics: A Survey of the
Theory and Evidence)
Alford, A. W. (1992), 'The effect of the set of comparable
firms on the accuracy of the price earnings valuation method'.
Journal of Accounting Research 30, 94-108.
Andrade, G. and S. Kaplan . . .
6 Conclusion.(Valuation Approaches and Metrics: A Survey of the
Theory and Evidence)
Since valuation is key to so much of what we do in finance, it is
not surprising that there are a myriad of valuation approaches in use.
In this paper, we examined three different approaches to . . .
5 Directions for future research.(Valuation Approaches and
Metrics: A Survey of the Theory and Evidence)
As we survey the research done on valuation in the last few
decades, there are three key trends that emerge from the research.
First, the focus has shifted from valuing stocks through models such . . .
4 Relative valuation.(Valuation Approaches and Metrics: A Survey
of the Theory and Evidence)
In relative valuation, we value an asset based upon how similar
assets are priced in the market. A prospective house buyer decides how
much to pay for a house by looking at the prices paid for . . .
3 Liquidation and accounting valuation.(Valuation Approaches and
Metrics: A Survey of the Theory and Evidence)
The value of an asset in the discounted cash flow framework is the
present value of the expected cash flows on that asset. Extending this
proposition to valuing a business, it can be argued that . . .
2 Discounted cash flow valuation.(Valuation Approaches and
Metrics: A Survey of the Theory and Evidence)
In discounted cashflows valuation, the value of an asset is the
present value of the expected cashflows on the asset, discounted back at
a rate that reflects the riskiness of these cashflows. This . . .
1 Introduction.(Valuation Approaches and Metrics: A Survey of the
Theory and Evidence)
Valuation can be considered the heart of finance. In corporate
finance, we consider how best to increase firm value by changing its
investment, financing and dividend decisions. In portfolio . . .
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