Measuring Fund Strategy and Performance in Changing Economic Conditions
提出条件绩效评估方法，利用公共信息变量调整传统基金绩效指标，发现这些变量在统计和经济上显著，能控制市场时机模型偏差，使样本基金平均表现更佳。
ABSTRACT The use of predetermined variables to represent public information and time‐variation has produced new insights about asset pricing models, but the literature on mutual fund performance has not exploited these insights. This paper advocates conditional performance evaluation in which the relevant expectations are conditioned on public information variables. We modify several classical performance measures to this end and find that the predetermined variables are both statistically and economically significant. Conditioning on public information controls for biases in traditional market timing models and makes the average performance of the mutual funds in our sample look better.