Judging Fund Managers by the Company They Keep
提出一种新的基金经理业绩评价方法，通过比较经理的投资决策与业绩优秀经理的相似度来评估其能力。模拟显示该方法在排名经理时特别有效，并发现美国股票基金收益具有强可预测性，且该信息未被传统指标包含。
ABSTRACT We develop a performance evaluation approach in which a fund manager's skill is judged by the extent to which the manager's investment decisions resemble the decisions of managers with distinguished performance records. The proposed performance measures use historical returns and holdings of many funds to evaluate the performance of a single fund. Simulations demonstrate that our measures are particularly useful in ranking managers. In an application that relies on such ranking, our measures reveal strong predictability in the returns of U.S. equity funds. Our measures provide information about future fund returns that is not contained in the standard measures.