This paper combines the use of portfolio holdings data and conditioning information to create a new performance measure. Our conditional weight-based measure has several advantages. Using conditioning information avoids biases in weight-based measures as discussed by Grinblatt and Titman (1993)....

To measure the investment performance of a portfolio manager who may engage in market timing, it is necessary to consider both market level and volatility timing behavior as well as security selection ability. We develop and implement measures that accommodate all three components. A well...

This article provides a review of the rapidly developing literature on investment performance evaluation. The goals are to summarize the significant forces and contributions that have brought this field of research to its current state of knowledge and to suggest directions for future research....