Wayne E. Ferson

Derek Horstmeyer1
Jerchern Lin1
1Derek Horstmeyer
1Jerchern Lin
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This paper provides a review of the methods for measuring portfolio performance and the evidence on the performance of professionally managed investment portfolios. Traditional performance measures, strongly influenced by the Capital Asset Pricing Model of Sharpe (1964), were developed prior to 1990. We discuss some of the properties and important problems(More)
Studies of investment performance routinely use various measures of alpha, yet the literature has not established that a positive (negative) alpha, as traditionally measured, means that an investor would want to buy (sell) a fund. However, under general conditions, when alpha is defined using the client's marginal utility function, a client faced with a(More)
T his paper makes indirect inference about the time variation in expected stock returns by comparing unconditional sample variances to estimates of expected conditional variances. The evidence reveals more predictability as more information is used, and there is no evidence that predictability has diminished in recent years. Semi-strong-form evidence(More)
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