Handbook of the Economics of Finance SET:Volumes 2A & 2B

Chapter 14

Investment Performance: A Review and Synthesis

Wayne E. Ferson

Ivadelle and Theodore Johnson Chair in Banking and Finance, Marshall School of Business, University of Southern California, 3670 Troudale Parkway Suite 308, Los Angeles, CA 90089-142, USA, [e-mail] http://www-rcf.usc.edu/~ferson/

Abstract

This chapter provides a perspective on the rapidly developing literature on investment performance evaluation. I use the stochastic discount factor approach to present and critique current performance measurement techniques in a unified setting. I offer a number of suggestions to improve performance measurement in future research. I also review recent research on the performance of mutual funds, hedge funds, pension funds, ...