Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
973474 | The North American Journal of Economics and Finance | 2006 | 24 Pages |
Abstract
This paper surveys recent academic research that uses portfolio holdings to evaluate the performance of an asset manager. These approaches mitigate the benchmark-choice problem of Roll (1978), as well as providing a much more precise attribution of the sources of manager returns. Although originally developed with U.S. data, recent papers have applied these approaches to European, Asian, and Australian equity managers. All surveyed approaches can be integrated into the Brinson, Hood, and Beebower (1986) attribution method, if we allow the composition of the benchmark portfolio to evolve through time according to the observed portfolio holdings of an asset manager.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Russ Wermers,