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Encyclopedia of Finance pp 297–304Cite as

Evaluating Fund Performance Within the Stochastic Discount Factor Framework

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Abstract

The stochastic discount factor (SDF) approach to fund performance is a recent innovation in the fund performance literature (Chen and Knez, Review of Financial Studies 9:511–555, 1996). A number of recent studies have used the stochastic discount factor approach to evaluate the performance of managed funds. In this paper, I present an overview of the use of the stochastic discount approach to evaluate the unconditional and conditional performance of the fund. I also discuss estimation issues and provide a brief survey of empirical evidence.

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Authors and Affiliations

  1. University of Strathclyde, Glasgow, UK

    J. Jonathan Fletcher

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  1. J. Jonathan Fletcher
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Correspondence to J. Jonathan Fletcher .

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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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Fletcher, J.J. (2013). Evaluating Fund Performance Within the Stochastic Discount Factor Framework. In: Lee, CF., Lee, A. (eds) Encyclopedia of Finance. Springer, Boston, MA. https://doi.org/10.1007/978-1-4614-5360-4_13

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  • DOI: https://doi.org/10.1007/978-1-4614-5360-4_13

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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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