@techreport{NBERw12461,
 title = "Benchmarking Money Manager Performance: Issues and Evidence",
 author = "Josef Lakonishok and Louis Chan and Stephen G. Dimmock",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "12461",
 year = "2006",
 month = "August",
 URL = "http://www.nber.org/papers/w12461",
 abstract = {Academic and practitioner research yields a proliferation of methods using size and value/growth attributes or factors to evaluate portfolio performance.  We assess the relative merits of several of the most widely-used procedures, including variants of matched-characteristic benchmark portfolios and time-series return regressions, by applying them to a sample of active money managers and passive indexes.  Estimated abnormal returns display large variation across approaches.  The benchmarks most widely used in academic research --- attribute-matched portfolios from independent sorts, the conventional three-factor time series model, and cross-sectional regressions of returns on stock characteristics --- have poor ability to track returns. Simple alterations are provided that improve the performance of the methods.},
}