Benchmarking Money Manager Performance: Issues and Evidence
比较了基于特征匹配基准组合和时间序列回归等常用业绩评估方法，发现学术研究中常用的基准组合对收益跟踪效果较差，并提出简单改进。
Academic and practitioner research evaluates portfolio performance using size and value/growth attributes or factors. We assess the merits of popular evaluation procedures based on matched-characteristic benchmark portfolios or time-series return regressions by applying them to a sample of active money managers and passive indexes. Estimated abnormal returns display large variation across approaches. The benchmarks typically used in academic research--attribute-matched portfolios from independent sorts, the three-factor time-series model, and cross-sectional regressions of returns on stock characteristics--track returns poorly. Some simple alterations improve the performance of these methods. The Author 2009. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oxfordjournals.org., Oxford University Press.