Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds

Wayne Ferson, Kenneth Khang

NBER Working Paper No. 8790
Issued in February 2002
NBER Program(s):   AP

This paper combines the use of portfolio holdings data and conditioning information to create a new performance measure. Our conditional weight-based measure has several advantages. Using conditioning information avoids biases in weight-based measures as discussed by Grinblatt and Titman (1993). When conditioning information is used, returns-based measures face a bias if managers can trade between observation dates. The new measures avoid this interim trading bias. We use the new measures to provide fresh insights about performance in a sample of U.S. equity pension fund managers.

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Document Object Identifier (DOI): 10.3386/w8790

Published: Ferson, Wayne and Kenneth Khang. "Conditional Performance Measurement Using Portfolio Weights: Evidence For Pension Funds," Journal of Financial Economics, 2002, v65(2,Aug), 249-282.

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