10 Conclusions

摘要

We have reviewed the models and methods for measuring portfolio performance and the evidence on the performance of professionally managed investment portfolios. Our review includes traditional measures, their properties and some of the important problems associated with the early measures. We also reviewed the more recent Conditional Performance Evaluation literature, weight-based performance measures and the stochastic discount factor approach, along with the evidence that these newer measures have produced. Our discussion has touched on equity style mutual funds, pension funds, asset allocation style funds, fixed income funds, and hedge funds. We draw several broad conclusions about the evidence that the literature has produced on fund performance, its relation to the efficiency of the markets, and also about future directions that we would like the literature to take.