Judging Fund Managers by the Company They Keep

Topics:
Investment and Capital Markets
Tags:
Fund Manager,
Harvard Business School,
Human Resources,
Performance,
Performance Management,
Workforce Management
Source:
Harvard Business School

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Overview: This paper develops a performance evaluation approach in which a fund manager's skill is judged by the extent to which the manager's investment decisions resemble the decisions of managers with distinguished performance records. The proposed performance measures use historical returns and holdings of many funds to evaluate the performance of a single fund. Simulations demonstrate that our measures are particularly useful in ranking managers. In an application that relies on such ranking, our measures reveal strong predictability in the returns of U.S. equity funds.

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Format: PDF | Size: 392KB | Date: May 2004 | Pages: 45

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