Judging fund managers by the company they keep

被引：130

作者：

Cohen, RB

Coval, JD

Pástor, L ^{[1
]}

机构：

[1] Harvard Univ, Sch Business, Cambridge, MA 02138 USA

[2] Univ Chicago, Grad Sch Business, NBER, Chicago, IL 60637 USA

来源：

JOURNAL OF FINANCE | 2005年 / 60卷 / 03期

关键词：

D O I：

10.1111/j.1540-6261.2005.00756.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：1057 / 1096

页数：40

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