Judging Fund Managers by the Company They Keep

Working Paper No. 9359 We develop a performance evaluation approach in which a fund manager's skill is judged by the extent to which his investment decisions resemble the decisions of managers with distinguished performance records. The proposed performance measures are estimated more precisely...

Full description

Saved in:
Bibliographic Details
Published in:NBER Working Paper Series 2002-12, p.9359
Main Authors: Cohen, Randolph, Coval, Joshua, Pastor, Lubos
Format: Article
Language:English
Subjects:
Economic theory
Equity funds
Investment advisors
Performance evaluation
Stocks
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
cited_by
cites
container_end_page
container_issue
container_start_page 9359
container_title NBER Working Paper Series
container_volume
creator Cohen, Randolph
Coval, Joshua
Pastor, Lubos
description Working Paper No. 9359 We develop a performance evaluation approach in which a fund manager's skill is judged by the extent to which his investment decisions resemble the decisions of managers with distinguished performance records. The proposed performance measures are estimated more precisely than standard measures, because they use historical returns and holdings of many funds to evaluate the performance of a single fund. According to one of our measures, funds with significantly positive ability considerably outnumber funds with significantly negative ability at the end of our sample. Simulations demonstrate that our measures are particularly useful in ranking managers. In an application that relies on such ranking, we find only weak persistence in the performance of U.S. equity funds after accounting for momentum in stock returns.
doi_str_mv 10.3386/w9359
format article
fullrecord <record><control><sourceid>proquest</sourceid><recordid>TN_cdi_proquest_journals_1689647105</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>3719016511</sourcerecordid><originalsourceid>FETCH-LOGICAL-e715-9626b0e38495209a29b90c5ca92270340f52fb8f82427ffbc96f73d277bcf8063</originalsourceid><addsrcrecordid>eNotzb1OwzAUQGEPILWUvoMl5pTr6_jnjiiiQCliyV7ZiZ22AifEjVDeHiSYzvYdxtYCNlJaff9NUtEVW4IlWyBJs2A3OZ8B0FoQS7bZTW13Sh3fTqnlby65LoyZ-5lfjoFX_efg0szrY5j5awjDLbuO7iOH9X9XrN4-1tVzsX9_eqke9kUwQhWkUXsI0pakEMgheYJGNY4QDcgSosLobbRYoonRN6SjkS0a45toQcsVu_tjh7H_mkK-HM79NKbf40FoS7o0ApT8ARPGPpQ</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>1689647105</pqid></control><display><type>article</type><title>Judging Fund Managers by the Company They Keep</title><source>ABI/INFORM Global (ProQuest)</source><source>Alma/SFX Local Collection</source><creator>Cohen, Randolph ; Coval, Joshua ; Pastor, Lubos</creator><creatorcontrib>Cohen, Randolph ; Coval, Joshua ; Pastor, Lubos</creatorcontrib><description>Working Paper No. 9359 We develop a performance evaluation approach in which a fund manager's skill is judged by the extent to which his investment decisions resemble the decisions of managers with distinguished performance records. The proposed performance measures are estimated more precisely than standard measures, because they use historical returns and holdings of many funds to evaluate the performance of a single fund. According to one of our measures, funds with significantly positive ability considerably outnumber funds with significantly negative ability at the end of our sample. Simulations demonstrate that our measures are particularly useful in ranking managers. In an application that relies on such ranking, we find only weak persistence in the performance of U.S. equity funds after accounting for momentum in stock returns.</description><identifier>ISSN: 0898-2937</identifier><identifier>DOI: 10.3386/w9359</identifier><language>eng</language><publisher>Cambridge: National Bureau of Economic Research, Inc</publisher><subject>Economic theory ; Equity funds ; Investment advisors ; Performance evaluation ; Stocks</subject><ispartof>NBER Working Paper Series, 2002-12, p.9359</ispartof><rights>Copyright National Bureau of Economic Research, Inc. Dec 2002</rights><woscitedreferencessubscribed>false</woscitedreferencessubscribed></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://www.proquest.com/docview/1689647105?pq-origsite=primo$$EHTML$$P50$$Gproquest$$H</linktohtml><link.rule.ids>780,784,11688,27925,36060,44363</link.rule.ids></links><search><creatorcontrib>Cohen, Randolph</creatorcontrib><creatorcontrib>Coval, Joshua</creatorcontrib><creatorcontrib>Pastor, Lubos</creatorcontrib><title>Judging Fund Managers by the Company They Keep</title><title>NBER Working Paper Series</title><description>Working Paper No. 9359 We develop a performance evaluation approach in which a fund manager's skill is judged by the extent to which his investment decisions resemble the decisions of managers with distinguished performance records. The proposed performance measures are estimated more precisely than standard measures, because they use historical returns and holdings of many funds to evaluate the performance of a single fund. According to one of our measures, funds with significantly positive ability considerably outnumber funds with significantly negative ability at the end of our sample. Simulations demonstrate that our measures are particularly useful in ranking managers. In an application that relies on such ranking, we find only weak persistence in the performance of U.S. equity funds after accounting for momentum in stock returns.</description><subject>Economic theory</subject><subject>Equity funds</subject><subject>Investment advisors</subject><subject>Performance evaluation</subject><subject>Stocks</subject><issn>0898-2937</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2002</creationdate><recordtype>article</recordtype><sourceid>M0C</sourceid><recordid>eNotzb1OwzAUQGEPILWUvoMl5pTr6_jnjiiiQCliyV7ZiZ22AifEjVDeHiSYzvYdxtYCNlJaff9NUtEVW4IlWyBJs2A3OZ8B0FoQS7bZTW13Sh3fTqnlby65LoyZ-5lfjoFX_efg0szrY5j5awjDLbuO7iOH9X9XrN4-1tVzsX9_eqke9kUwQhWkUXsI0pakEMgheYJGNY4QDcgSosLobbRYoonRN6SjkS0a45toQcsVu_tjh7H_mkK-HM79NKbf40FoS7o0ApT8ARPGPpQ</recordid><startdate>20021201</startdate><enddate>20021201</enddate><creator>Cohen, Randolph</creator><creator>Coval, Joshua</creator><creator>Pastor, Lubos</creator><general>National Bureau of Economic Research, Inc</general><scope>3V.</scope><scope>7WY</scope><scope>7WZ</scope><scope>7XB</scope><scope>87Z</scope><scope>8FK</scope><scope>8FL</scope><scope>ABUWG</scope><scope>AFKRA</scope><scope>BENPR</scope><scope>BEZIV</scope><scope>CCPQU</scope><scope>DWQXO</scope><scope>FRNLG</scope><scope>F~G</scope><scope>K60</scope><scope>K6~</scope><scope>L.-</scope><scope>M0C</scope><scope>PQBIZ</scope><scope>PQBZA</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>Q9U</scope></search><sort><creationdate>20021201</creationdate><title>Judging Fund Managers by the Company They Keep</title><author>Cohen, Randolph ; Coval, Joshua ; Pastor, Lubos</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-e715-9626b0e38495209a29b90c5ca92270340f52fb8f82427ffbc96f73d277bcf8063</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2002</creationdate><topic>Economic theory</topic><topic>Equity funds</topic><topic>Investment advisors</topic><topic>Performance evaluation</topic><topic>Stocks</topic><toplevel>online_resources</toplevel><creatorcontrib>Cohen, Randolph</creatorcontrib><creatorcontrib>Coval, Joshua</creatorcontrib><creatorcontrib>Pastor, Lubos</creatorcontrib><collection>ProQuest Central (Corporate)</collection><collection>ABI/INFORM Collection</collection><collection>ABI/INFORM Global (PDF only)</collection><collection>ProQuest Central (purchase pre-March 2016)</collection><collection>ABI/INFORM Collection</collection><collection>ProQuest Central (Alumni) (purchase pre-March 2016)</collection><collection>ABI/INFORM Collection (Alumni Edition)</collection><collection>ProQuest Central (Alumni)</collection><collection>ProQuest Central</collection><collection>ProQuest Central</collection><collection>ProQuest Business Premium Collection</collection><collection>ProQuest One Community College</collection><collection>ProQuest Central</collection><collection>Business Premium Collection (Alumni)</collection><collection>ABI/INFORM Global (Corporate)</collection><collection>ProQuest Business Collection (Alumni Edition)</collection><collection>ProQuest Business Collection</collection><collection>ABI/INFORM Professional Advanced</collection><collection>ABI/INFORM Global (ProQuest)</collection><collection>ProQuest One Business</collection><collection>ProQuest One Business (Alumni)</collection><collection>ProQuest One Academic Eastern Edition (DO NOT USE)</collection><collection>ProQuest One Academic</collection><collection>ProQuest One Academic UKI Edition</collection><collection>ProQuest Central Basic</collection></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Cohen, Randolph</au><au>Coval, Joshua</au><au>Pastor, Lubos</au><format>book</format><genre>document</genre><ristype>GEN</ristype><atitle>Judging Fund Managers by the Company They Keep</atitle><jtitle>NBER Working Paper Series</jtitle><date>2002-12-01</date><risdate>2002</risdate><spage>9359</spage><pages>9359-</pages><issn>0898-2937</issn><abstract>Working Paper No. 9359 We develop a performance evaluation approach in which a fund manager's skill is judged by the extent to which his investment decisions resemble the decisions of managers with distinguished performance records. The proposed performance measures are estimated more precisely than standard measures, because they use historical returns and holdings of many funds to evaluate the performance of a single fund. According to one of our measures, funds with significantly positive ability considerably outnumber funds with significantly negative ability at the end of our sample. Simulations demonstrate that our measures are particularly useful in ranking managers. In an application that relies on such ranking, we find only weak persistence in the performance of U.S. equity funds after accounting for momentum in stock returns.</abstract><cop>Cambridge</cop><pub>National Bureau of Economic Research, Inc</pub><doi>10.3386/w9359</doi></addata></record>
fulltext fulltext
identifier ISSN: 0898-2937
ispartof NBER Working Paper Series, 2002-12, p.9359
issn 0898-2937
language eng
recordid cdi_proquest_journals_1689647105
source ABI/INFORM Global (ProQuest); Alma/SFX Local Collection
subjects Economic theory
Equity funds
Investment advisors
Performance evaluation
Stocks
title Judging Fund Managers by the Company They Keep
url http://sfxeu10.hosted.exlibrisgroup.com/loughborough?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-07T10%3A12%3A46IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest&rft_val_fmt=info:ofi/fmt:kev:mtx:book&rft.genre=document&rft.atitle=Judging%20Fund%20Managers%20by%20the%20Company%20They%20Keep&rft.jtitle=NBER%20Working%20Paper%20Series&rft.au=Cohen,%20Randolph&rft.date=2002-12-01&rft.spage=9359&rft.pages=9359-&rft.issn=0898-2937&rft_id=info:doi/10.3386/w9359&rft_dat=%3Cproquest%3E3719016511%3C/proquest%3E%3Cgrp_id%3Ecdi_FETCH-LOGICAL-e715-9626b0e38495209a29b90c5ca92270340f52fb8f82427ffbc96f73d277bcf8063%3C/grp_id%3E%3Coa%3E%3C/oa%3E%3Curl%3E%3C/url%3E&rft_id=info:oai/&rft_pqid=1689647105&rft_id=info:pmid/&rfr_iscdi=true