Portfolio Performance Evaluation provides a selective review of the methods for measuring portfolio performance and the evidence on the performance of professionally managed investment portfolios. There is also a discussion of hedge funds presenting unique challenges for measuring risk adjusted performance and for interpreting performance measures.

Portfolio Performance Evaluation summarizes the historical evidence on the performance of mutual funds and hedge funds using actual data.

Published by Now Publishers and marketed by World Scientific

Contents:

• Introduction
• Classical Measures of Portfolio Performance
• Conditional Performance Evaluation
• The Stochastic Discount Factor (SDF) Approach
• Implementing the Measures: A Fund-of-Funds Perspective
• Bond Fund Performance Measurement
• Hedge Fund Performance
• Recent Evidence on Managed Portfolio Performance
• A Summary: The Evidence on Managed Portfolio Performance and Market Efficiency
• Conclusions
• References