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Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds
16 references·10 citing·31 second hop
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 1997Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks2,844 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions1,759 cited
  • 1991The Variation of Economic Risk Premiums1,740 cited
  • 1989Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings1,349 cited
  • 1995Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior1,177 cited
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  • 1998An Anatomy of Trading Strategies858 cited
  • 1999Conditioning Variables and the Cross Section of Stock Returns839 cited
  • 1993Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns816 cited
  • 1999Is Money Smart? A Study of Mutual Fund Investors' Fund Selection Ability816 cited
  • 1989Portfolio Performance Evaluation: Old Issues and New Insights

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583 cited
  • 1998Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance430 cited
  • Cited by

    • 2006Performance Persistence in Institutional Investment Management54 cited
    • 2011Time-Varying Fund Manager Skill53 cited
    • 2009The 101 Ways to Measure Portfolio Performance51 cited
    • 2004The Performance of International Portfolios41 cited
    • 2012Performance, stock selection and market timing of the German equity mutual fund industry38 cited
    • 2010On the Dynamics of Hedge Fund Risk Exposures30 cited
    • 2006The Performance of International Equity Portfolios27 cited
    • 2011Measuring Bond Mutual Fund Performance with Portfolio Characteristics27 cited
    • 2001Applying Portfolio Change and Conditional Performance Measures: The Case of Industry Rotation via the Dynamic Investment Model23 cited
    • 2005The Timing Ability of Fixed Income Mutual Funds21 cited