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Conditional Performance Evaluation

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Encyclopedia of Finance

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Abstract

Measures for evaluating the performance of a mutual fund or other managed portfolio are interpreted as the difference between the average return of the fund and that of an appropriate benchmark portfolio. Traditional measures use a fixed benchmark to match the average risk of the fund. Conditional performance measures use a dynamic strategy as the benchmark, matching the fund’s risk dynamics. The logic of this approach is explained, the models are described and the empirical evidence is reviewed.

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Author information

Authors and Affiliations

  1. University of Southern California, Los Angeles, CA, USA

    Wayne E. Ferson

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  1. Wayne E. Ferson
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Correspondence to Wayne E. Ferson .

Editor information

Editors and Affiliations

  1. Dept. Finance, Rutgers University, Rockafeller Road 94, New Brunswick, 08854-8054, New Jersey, USA

    Cheng-Few Lee

  2. College of Business, San Francisco State University, Holloway Ave. 1600, San Fransisco, 94132, California, USA

    Alice C. Lee

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Ferson, W.E. (2013). Conditional Performance Evaluation. In: Lee, CF., Lee, A. (eds) Encyclopedia of Finance. Springer, Boston, MA. https://doi.org/10.1007/978-1-4614-5360-4_11

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  • DOI: https://doi.org/10.1007/978-1-4614-5360-4_11

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  • Publisher Name: Springer, Boston, MA

  • Print ISBN: 978-1-4614-5359-8

  • Online ISBN: 978-1-4614-5360-4

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