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Encyclopedia of Finance pp 384–392Cite as

Conditional performance evaluation

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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. Boston College, Chestnut Hill, USA

    Wayne E. Ferson

Authors
  1. Wayne E. Ferson
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Editor information

Editors and Affiliations

  1. Rutgers University, New Brunswick/Piscataway, USA

    Cheng-Few Lee

  2. San Francisco State University, San Francisco, USA

    Alice C. Lee

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© 2006 Springer Science+Business Media, Inc.

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Ferson, W.E. (2006). Conditional performance evaluation. In: Lee, CF., Lee, A.C. (eds) Encyclopedia of Finance. Springer, Boston, MA. https://doi.org/10.1007/978-0-387-26336-6_36

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  • DOI: https://doi.org/10.1007/978-0-387-26336-6_36

  • Publisher Name: Springer, Boston, MA

  • Print ISBN: 978-0-387-26284-0

  • Online ISBN: 978-0-387-26336-6

  • eBook Packages: Business and Economics

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