Evaluating Government Bond Fund Performance with Stochastic Discount Factors
展示如何用连续时间期限结构模型中的随机贴现因子来评估管理型投资组合的业绩，解决了因基金经理在回报测量区间内交易或持有可复制期权而产生的业绩衡量偏差，并用1986-2000年美国政府债券基金数据验证了方法。
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 measurement bias, described by Goetzmann, Ingersoll, and Ivkovic (2000) and Ferson and Khang (2002), arising because fund managers may trade within the return measurement interval or hold positions in replicable options. The empirical factors contribute explanatory power in factor model regressions and reduce model pricing errors. We illustrate the approach on US government bond funds during 1986--2000. Copyright 2006, Oxford University Press.