TY  - JOUR
AU  - Ferson,Wayne
AU  - Khang,Kenneth
TI  - Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 8790
PY  - 2002
Y2  - February 2002
UR  - http://www.nber.org/papers/w8790
L1  - http://www.nber.org/papers/w8790.pdf
N1  - Author contact info:
Wayne E. Ferson
Department of Finance
and Business Economics
University of Southern California
3670 Trousdale Parkway Suite 308
Los Angeles, CA 90089-0804
Tel: 213/740-5615
Fax: 213/740-6650
E-Mail: ferson@marshall.usc.edu
AB  - 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.
ER  -