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Mutual Fund Performance Evaluation : A Comparison of Benchmarks and Benchmark Comparisons

Lehmann, Bruce N. - 1985

Our primary goal in this paper is to ascertain whether the absolute and relative rankings of managed funds are sensitive to the benchmark chosen to measure normal performance. We employ the standard CAPM benchmarks and a variety of APT benchmarks to investigate this question. We found that there...

Persistent link: https://www.econbiz.de/10012477358

The Benchmark Inclusion Subsidy

Kashyap, Anil K. - 2018

We argue that a common practice of evaluating portfolio managers relative to a benchmark has real effects. Benchmarking …

Persistent link: https://www.econbiz.de/10012480988

Is There Too Much Benchmarking in Asset Management?

Kashyap, Anil K. - 2020

We propose a model of asset management in which benchmarking arises endogenously, and analyze its unintended welfare … prices. Benchmarking inflates asset prices and gives rise to crowded trades, thereby reducing the effectiveness of incentive … crowding, opts for less benchmarking and less incentive provision. We also show that asset management costs are lower with …

Persistent link: https://www.econbiz.de/10012482239

Benchmarking Money Manager Performance : Issues and Evidence

Lakonishok, Josef - 2006

Academic and practitioner research yields a proliferation of methods using size and value/growth attributes or factors to evaluate portfolio performance. We assess the relative merits of several of the most widely-used procedures, including variants of matched-characteristic benchmark portfolios...

Persistent link: https://www.econbiz.de/10012466203

Conditional Market Timing with Benchmark Investors

Becker, Connie - 1998

This paper tests models of mutual fund market timing that (1) allow the manager's utility function to depend on returns in excess of a benchmark; (2) distinguish timing based on lagged, publicly available information variables from timing based on finer information; and (3) simultaneously...

Persistent link: https://www.econbiz.de/10012472375

Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation

Cremers, Martijn - 2012

Standard Fama-French and Carhart models produce economically and statistically significant nonzero alphas, even for passive benchmark indices such as the S&P 500 and Russell 2000. We find that these alphas arise primarily from the disproportionate weight the Fama-French factors place on small...

Persistent link: https://www.econbiz.de/10012460609

Measuring Productivity : Lessons from Tailored Surveys and Productivity Benchmarking

Atkin, David - 2019

We use tailored surveys and benchmarking in the flat-weave rug industry to better understand the shortcomings of …

Persistent link: https://www.econbiz.de/10012479427

Putting Global Governance in its Place

Rodrik, Dani - 2019

In a world economy that is highly integrated, most policies produce effects across the border. This is often believed to be an argument for greater global governance, but the logic requires scrutiny. There remains strong revealed demand for policy and institutional diversity among nations,...

Persistent link: https://www.econbiz.de/10012480157

Benchmarking Global Optimizers

Arnoud, Antoine - 2019

give a detailed comparison of algorithms, we use a set of benchmarking tools recently developed in the applied mathematics …

Persistent link: https://www.econbiz.de/10012480284

Benchmark Interest Rates When the Government is Risky

Augustin, Patrick - 2019

Since the Global Financial Crisis, rates on interest rate swaps have fallen below maturity matched U.S. Treasury rates across different maturities. Swap rates represent future uncollateralized borrowing between banks. Treasuries should be expensive and produce yields that are lower than those of...

Persistent link: https://www.econbiz.de/10012480372

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