TY  - JOUR
AU  - Lakonishok,Josef
AU  - Chan,Louis
AU  - Dimmock,Stephen G.
TI  - Benchmarking Money Manager Performance: Issues and Evidence
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 12461
PY  - 2006
Y2  - August 2006
UR  - http://www.nber.org/papers/w12461
L1  - http://www.nber.org/papers/w12461.pdf
N1  - Author contact info:
Josef Lakonishok
University of Illinois, Department of Finance
College of Commerce & Business Administration
1206 S. Sixth Street
Champaign, IL 61820
Tel: 217/333-7185
Fax: 217/244-1151
E-Mail: jlakonishok@yahoo.com

Louis Chan
Department of Finance
University of Illinois
113 Commerce West, MC 706
1206 S. Sixth
Champaign, IL 61820
Tel: 217/333-6391
E-Mail: l-chan2@uiuc.edu

Stephen G. Dimmock
Division of Finance and Banking
Nanyang Technological University
Singapore, 639798
Tel: 65 6790-6119
E-Mail: dimmock@ntu.edu.sg
AB  - 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.
ER  -