Evaluating Government Bond Fund Performance with Stochastic Discount Factors

This article shows how to evaluate the performance of managed portfolios using stochastic discount factors (SDFs) from continuous-time term structure models. These models imply empirical factors that include time averages of the underlying state variables. The approach addresses a performance measur...

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Veröffentlicht in:	The Review of financial studies 2006-07, Vol.19 (2), p.423-455
Hauptverfasser:	Ferson, Wayne, Henry, Tyler R., Kisgen, Darren J.
Format:	Artikel
Sprache:	eng
Schlagworte:	Benchmarks Bias Bond funds Bond market Bond portfolios Capital assets Convexity Data analysis Economic models Equity funds Evaluation Federal Reserve monetary policy Financial economics Financial instruments Financial performance Government bonds Government performance Income funds Interest rates Investment returns Linear regression Mutual funds Parametric models Performance evaluation Portfolio management Random variables Stochastic models Stocks Studies Time Treasury bonds Yield to maturity
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