Differential information and timing ability

Differential information and timing ability

This paper discusses performance evaluation when the analyst has access to the composition of the portfolio. In the U.S., master trustees and custodians have this information. With this assumption the paper derives techniques for evaluating superior performance. The techniques unlike conventional me...

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Veröffentlicht in:Journal of banking & finance 1991-02, Vol.15 (1), p.117-131
Hauptverfasser: Elton, Edwin J., Gruber, Martin J.
Format: Artikel
Sprache:eng
Schlagworte:
Economic models
Economic theory
Information
Portfolio analysis
Portfolio management
Portfolio performance
Securities analysis
Securities markets
Techniques
Timing
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Beschreibung
Zusammenfassung:This paper discusses performance evaluation when the analyst has access to the composition of the portfolio. In the U.S., master trustees and custodians have this information. With this assumption the paper derives techniques for evaluating superior performance. The techniques unlike conventional measures can detect superior performance even when the manager is attempting to market time.
ISSN:0378-4266
1872-6372
DOI:10.1016/0378-4266(91)90041-J