@techreport{NBERw8790,
 title = "Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds",
 author = "Wayne Ferson and Kenneth Khang",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "8790",
 year = "2002",
 month = "February",
 URL = "http://www.nber.org/papers/w8790",
 abstract = {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.},
}