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Implied measures of relative fund performance

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  • Steve Hogan
  • Mitch Warachka

Abstract

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Suggested Citation

  • Steve Hogan & Mitch Warachka, 2008. "Implied measures of relative fund performance," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 22(1), pages 47-66, March.
    • Handle: RePEc:kap:fmktpm:v:22:y:2008:i:1:p:47-66
    DOI: 10.1007/s11408-007-0070-6
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    References listed on IDEAS

    as
    1. Louis K. C. Chan & Hsiu-Lang Chen & Josef Lakonishok, 2002. "On Mutual Fund Investment Styles," The Review of Financial Studies, Society for Financial Studies, vol. 15(5), pages 1407-1437.
    2. Daniel, Kent, et al, 1997. "Measuring Mutual Fund Performance with Characteristic-Based Benchmarks," Journal of Finance, American Finance Association, vol. 52(3), pages 1035-1058, July.
    3. Brown, Stephen J. & Goetzmann, William N., 1997. "Mutual fund styles," Journal of Financial Economics, Elsevier, vol. 43(3), pages 373-399, March.
    4. Agarwal, Vikas & Naik, Narayan Y., 2000. "Multi-Period Performance Persistence Analysis of Hedge Funds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(3), pages 327-342, September.
    5. Stefan Illmer & Wolfgang Marty, 2007. "Return decomposition of absolute-performance multi-asset class portfolios," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 21(1), pages 121-134, March.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Relative performance; Fund management; G11;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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