Differential Information and Timing Ability
DOI:
https://doi.org/10.1016/1057-0810(91)90037-YAbstract
This paper discusses performance evaluation when the analyst has access to the composition of the portfolio. In the United States, master trustees and custodi- ans have this information. With this assumption, the paper derives techniques for evaluating superior performance. The techniques, unlike conventional measures, can detect superior performance even when the manager is attempting to market time. Journal of Banking and Finance, Vol. 15, No. 1 (February 1991), pp. 117-131. (Reprinted with permission of the Journal of Economic Literature.)
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