Portfolio Performance Measurement and Benchmarking, Chapter 22 - Index Weighting

Wayne E. Ferson

Jon A. Christopherson

David R. Carino

McGraw-Hill Professional

Conditional performance evaluation compares a fund's returns with the returns of a dynamic strategy that matches the fund's time-varying risk exposures. In this Reserach Foundation Monograph, the authors revisit the main empirical results of the conditional performance evaluation literature using a large, updated sample of mutual funds and expand and refine the treatment of conditioning information.

Conditional Performace Evaluation, Revisited

Meijun Qian

Research Foundation of CFA Institute

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Books by Wayne E. Ferson