Performance Evaluation with Stochastic Discount Factors
We study the use of stochastic discount factor (SDF) models in evaluating the investment performance of portfolio managers. By constructing artificial mutual funds with known levels of investment ability, we evaluate a large set of SDF models. We find that the measures of performance are not highly...
Gespeichert in:
| Veröffentlicht in: | NBER Working Paper Series 2002-02, p.8791 |
|---|---|
| Hauptverfasser: | , , , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | |
|---|---|
| container_issue | |
| container_start_page | 8791 |
| container_title | NBER Working Paper Series |
| container_volume | |
| creator | Farnsworth, Heber Ferson, Wayne E Todd, Steven Jackson, David L |
| description | We study the use of stochastic discount factor (SDF) models in evaluating the investment performance of portfolio managers. By constructing artificial mutual funds with known levels of investment ability, we evaluate a large set of SDF models. We find that the measures of performance are not highly sensitive to the SDF model, and that most of the models have a mild negative bias when performance is neutral. We use the models to evaluate a sample of U.S. equity mutual funds. Adjusting for the observed bias, we find that the average mutual fund has enough ability to cover its transactions costs. Extreme funds are more likely to have good rather than poor risk adjusted performance. Our analysis also reveals a number of implementation issues relevant to other applications of SDF models. |
| doi_str_mv | 10.3386/w8791 |
| format | Article |
| fullrecord | <record><control><sourceid>proquest_econi</sourceid><recordid>TN_cdi_proquest_journals_1689580239</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><nber_id>w8791</nber_id><sourcerecordid>3718743481</sourcerecordid><originalsourceid>FETCH-LOGICAL-c1079-7ccbae33abf1f4c5e6c08161aed08198d9c9f88ed210f6ed6b72a7bec45170413</originalsourceid><addsrcrecordid>eNo90MFLwzAYBfAcFJxzf4C3gudqvqRNvhxlbioMFNRzSb-mrGNrZpI6_O8tVjy9y4_34DG2AH4rJaq7E2oDZ2zG0WAujNQX7DLGHecCkcOM6VcXWh8OtieXrb7sfrCp83126tI2e0uetjamjrKHLpIf-pStLSUf4hU7b-0-usVfztnHevW-fMo3L4_Py_tNTsC1yTVRbZ2Utm6hLah0ijiCAuuaMQ02hkyL6BoBvFWuUbUWVteOihI0L0DO2c3Uewz-c3AxVTs_hH6crEChKZELaUaVTcqR77tYHUN3sOG7Al4oDaiEGMn1RPrahX_we4_8Ab6cV78</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>1689580239</pqid></control><display><type>article</type><title>Performance Evaluation with Stochastic Discount Factors</title><source>NBER Working Papers</source><source>Alma/SFX Local Collection</source><creator>Farnsworth, Heber ; Ferson, Wayne E ; Todd, Steven ; Jackson, David L</creator><creatorcontrib>Farnsworth, Heber ; Ferson, Wayne E ; Todd, Steven ; Jackson, David L</creatorcontrib><description>We study the use of stochastic discount factor (SDF) models in evaluating the investment performance of portfolio managers. By constructing artificial mutual funds with known levels of investment ability, we evaluate a large set of SDF models. We find that the measures of performance are not highly sensitive to the SDF model, and that most of the models have a mild negative bias when performance is neutral. We use the models to evaluate a sample of U.S. equity mutual funds. Adjusting for the observed bias, we find that the average mutual fund has enough ability to cover its transactions costs. Extreme funds are more likely to have good rather than poor risk adjusted performance. Our analysis also reveals a number of implementation issues relevant to other applications of SDF models.</description><identifier>ISSN: 0898-2937</identifier><identifier>DOI: 10.3386/w8791</identifier><language>eng</language><publisher>Cambridge, Mass: National Bureau of Economic Research</publisher><subject>Asset Pricing ; Bias ; Costs ; Economic theory ; Economics ; Investment advisors ; Mutual funds ; Performance evaluation ; Random variables</subject><ispartof>NBER Working Paper Series, 2002-02, p.8791</ispartof><rights>Copyright National Bureau of Economic Research, Inc. Feb 2002</rights><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c1079-7ccbae33abf1f4c5e6c08161aed08198d9c9f88ed210f6ed6b72a7bec45170413</citedby></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>780,784,27925</link.rule.ids></links><search><creatorcontrib>Farnsworth, Heber</creatorcontrib><creatorcontrib>Ferson, Wayne E</creatorcontrib><creatorcontrib>Todd, Steven</creatorcontrib><creatorcontrib>Jackson, David L</creatorcontrib><title>Performance Evaluation with Stochastic Discount Factors</title><title>NBER Working Paper Series</title><description>We study the use of stochastic discount factor (SDF) models in evaluating the investment performance of portfolio managers. By constructing artificial mutual funds with known levels of investment ability, we evaluate a large set of SDF models. We find that the measures of performance are not highly sensitive to the SDF model, and that most of the models have a mild negative bias when performance is neutral. We use the models to evaluate a sample of U.S. equity mutual funds. Adjusting for the observed bias, we find that the average mutual fund has enough ability to cover its transactions costs. Extreme funds are more likely to have good rather than poor risk adjusted performance. Our analysis also reveals a number of implementation issues relevant to other applications of SDF models.</description><subject>Asset Pricing</subject><subject>Bias</subject><subject>Costs</subject><subject>Economic theory</subject><subject>Economics</subject><subject>Investment advisors</subject><subject>Mutual funds</subject><subject>Performance evaluation</subject><subject>Random variables</subject><issn>0898-2937</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2002</creationdate><recordtype>article</recordtype><sourceid>NBR</sourceid><sourceid>ABUWG</sourceid><sourceid>AFKRA</sourceid><sourceid>BENPR</sourceid><sourceid>CCPQU</sourceid><sourceid>DWQXO</sourceid><recordid>eNo90MFLwzAYBfAcFJxzf4C3gudqvqRNvhxlbioMFNRzSb-mrGNrZpI6_O8tVjy9y4_34DG2AH4rJaq7E2oDZ2zG0WAujNQX7DLGHecCkcOM6VcXWh8OtieXrb7sfrCp83126tI2e0uetjamjrKHLpIf-pStLSUf4hU7b-0-usVfztnHevW-fMo3L4_Py_tNTsC1yTVRbZ2Utm6hLah0ijiCAuuaMQ02hkyL6BoBvFWuUbUWVteOihI0L0DO2c3Uewz-c3AxVTs_hH6crEChKZELaUaVTcqR77tYHUN3sOG7Al4oDaiEGMn1RPrahX_we4_8Ab6cV78</recordid><startdate>20020201</startdate><enddate>20020201</enddate><creator>Farnsworth, Heber</creator><creator>Ferson, Wayne E</creator><creator>Todd, Steven</creator><creator>Jackson, David L</creator><general>National Bureau of Economic Research</general><general>National Bureau of Economic Research, Inc</general><scope>CZO</scope><scope>MPB</scope><scope>NBR</scope><scope>XD6</scope><scope>OQ6</scope><scope>3V.</scope><scope>7WY</scope><scope>7WZ</scope><scope>7XB</scope><scope>87Z</scope><scope>8FK</scope><scope>8FL</scope><scope>ABUWG</scope><scope>AFKRA</scope><scope>BENPR</scope><scope>BEZIV</scope><scope>CCPQU</scope><scope>DWQXO</scope><scope>FRNLG</scope><scope>F~G</scope><scope>K60</scope><scope>K6~</scope><scope>L.-</scope><scope>M0C</scope><scope>PQBIZ</scope><scope>PQBZA</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>Q9U</scope></search><sort><creationdate>20020201</creationdate><title>Performance Evaluation with Stochastic Discount Factors</title><author>Farnsworth, Heber ; Ferson, Wayne E ; Todd, Steven ; Jackson, David L</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c1079-7ccbae33abf1f4c5e6c08161aed08198d9c9f88ed210f6ed6b72a7bec45170413</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2002</creationdate><topic>Asset Pricing</topic><topic>Bias</topic><topic>Costs</topic><topic>Economic theory</topic><topic>Economics</topic><topic>Investment advisors</topic><topic>Mutual funds</topic><topic>Performance evaluation</topic><topic>Random variables</topic><toplevel>online_resources</toplevel><creatorcontrib>Farnsworth, Heber</creatorcontrib><creatorcontrib>Ferson, Wayne E</creatorcontrib><creatorcontrib>Todd, Steven</creatorcontrib><creatorcontrib>Jackson, David L</creatorcontrib><collection>NBER Working Papers</collection><collection>NBER</collection><collection>NBER Working Papers</collection><collection>NBER Technical Working Papers Archive</collection><collection>ECONIS</collection><collection>ProQuest Central (Corporate)</collection><collection>ABI/INFORM Collection</collection><collection>ABI/INFORM Global (PDF only)</collection><collection>ProQuest Central (purchase pre-March 2016)</collection><collection>ABI/INFORM Collection</collection><collection>ProQuest Central (Alumni) (purchase pre-March 2016)</collection><collection>ABI/INFORM Collection (Alumni Edition)</collection><collection>ProQuest Central (Alumni)</collection><collection>ProQuest Central</collection><collection>ProQuest Central</collection><collection>Business Premium Collection</collection><collection>ProQuest One Community College</collection><collection>ProQuest Central</collection><collection>Business Premium Collection (Alumni)</collection><collection>ABI/INFORM Global (Corporate)</collection><collection>ProQuest Business Collection (Alumni Edition)</collection><collection>ProQuest Business Collection</collection><collection>ABI/INFORM Professional Advanced</collection><collection>ABI/INFORM Global (ProQuest)</collection><collection>ProQuest One Business</collection><collection>ProQuest One Business (Alumni)</collection><collection>ProQuest One Academic Eastern Edition (DO NOT USE)</collection><collection>ProQuest One Academic</collection><collection>ProQuest One Academic UKI Edition</collection><collection>ProQuest Central Basic</collection></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Farnsworth, Heber</au><au>Ferson, Wayne E</au><au>Todd, Steven</au><au>Jackson, David L</au><format>book</format><genre>document</genre><ristype>GEN</ristype><atitle>Performance Evaluation with Stochastic Discount Factors</atitle><jtitle>NBER Working Paper Series</jtitle><date>2002-02-01</date><risdate>2002</risdate><spage>8791</spage><pages>8791-</pages><issn>0898-2937</issn><abstract>We study the use of stochastic discount factor (SDF) models in evaluating the investment performance of portfolio managers. By constructing artificial mutual funds with known levels of investment ability, we evaluate a large set of SDF models. We find that the measures of performance are not highly sensitive to the SDF model, and that most of the models have a mild negative bias when performance is neutral. We use the models to evaluate a sample of U.S. equity mutual funds. Adjusting for the observed bias, we find that the average mutual fund has enough ability to cover its transactions costs. Extreme funds are more likely to have good rather than poor risk adjusted performance. Our analysis also reveals a number of implementation issues relevant to other applications of SDF models.</abstract><cop>Cambridge, Mass</cop><pub>National Bureau of Economic Research</pub><doi>10.3386/w8791</doi></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0898-2937 |
| ispartof | NBER Working Paper Series, 2002-02, p.8791 |
| issn | 0898-2937 |
| language | eng |
| recordid | cdi_proquest_journals_1689580239 |
| source | NBER Working Papers; Alma/SFX Local Collection |
| subjects | Asset Pricing Bias Costs Economic theory Economics Investment advisors Mutual funds Performance evaluation Random variables |
| title | Performance Evaluation with Stochastic Discount Factors |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-03T13%3A57%3A17IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_econi&rft_val_fmt=info:ofi/fmt:kev:mtx:book&rft.genre=document&rft.atitle=Performance%20Evaluation%20with%20Stochastic%20Discount%20Factors&rft.jtitle=NBER%20Working%20Paper%20Series&rft.au=Farnsworth,%20Heber&rft.date=2002-02-01&rft.spage=8791&rft.pages=8791-&rft.issn=0898-2937&rft_id=info:doi/10.3386/w8791&rft_dat=%3Cproquest_econi%3E3718743481%3C/proquest_econi%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=1689580239&rft_id=info:pmid/&rft_nber_id=w8791&rfr_iscdi=true |