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On statistical surveillance of the performance of fund managers

Author

Listed:
  • Schiöler, Linus

    (Statistical Research Unit, Department of Economics, School of Business, Economics and Law, Göteborg University)

  • Frisén, Marianne

    (Statistical Research Unit, Department of Economics, School of Business, Economics and Law, Göteborg University)

Abstract

The aim of this report is to describe if and how statistical surveillance methods for monitoring of the performance of fund managers has been used. Statistical surveillance is a methodology for on-line monitoring, in which a warning signal is given if the performance declines. Since these methods are advanced you can expect the methods to be described in scientific literature. Problems in this area which will not be treated in this report are: 1. Estimation of the performance. 2. Hypothesis testing of if this manager always have a poor performance. 3. Examination of how managers are influenced by being evaluated.

Suggested Citation

  • Schiöler, Linus & Frisén, Marianne, 2008. "On statistical surveillance of the performance of fund managers," Research Reports 2008:4, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law.
    • Handle: RePEc:hhs:gunsru:2008_004
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    File URL: http://hdl.handle.net/2077/19422
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    References listed on IDEAS

    as
    1. Bock, David, 2007. "Evaluations of likelihood based surveillance of volatility," Research Reports 2007:9, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law.
    2. Frisén, Marianne, 2007. "Principles for Multivariate Surveillance," Research Reports 2007:4, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law.
    3. Marianne Frisén, 2003. "Statistical Surveillance. Optimality and Methods," International Statistical Review, International Statistical Institute, vol. 71(2), pages 403-434, August.
    4. Pettersson, Kjell, 2008. "Unimodal regression in the two-parameter exponential family with constant or known dispersion parameter," Research Reports 2007:14, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law.
    5. Pettersson, Kjell, 2008. "On curve estimation under order restrictions," Research Reports 2007:15, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law.
    6. Bock, David & Andersson, Eva & Frisén, Marianne, 2007. "Similarities and differences between statistical surveillance and certain decision rules in finance," Research Reports 2007:8, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law.
    7. Andersson, Eva & Bock, David & Frisén, Marianne, 2007. "Modeling influenza incidence for the purpose of on-line monitoring," Research Reports 2007:5, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law.
    8. Bock, David & Andersson, Eva & Frisén, Marianne, 2007. "Statistical Surveillance of Epidemics: Peak Detection of Influenza in Sweden," Research Reports 2007:6, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law.
    9. Frisén, Marianne & Andersson, Eva & Schiöler, Linus, 2007. "Robust outbreak surveillance of epidemics in Sweden," Research Reports 2007:12, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law.
    10. David Bock & Eva Andersson & Marianne Frisén, 2005. "Statistical surveillance of cyclical processes with application to turns in business cycles," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(7), pages 465-490.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Statistical surveillance; Fund manager;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General

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