On statistical surveillance of the performance of fund managers
() and Marianne Frisén
Abstract: The aim of this report is to describe if and how
statistical surveillance methods for monitoring of the performance of fund
managers has been used. Statistical surveillance is a methodology for
on-line monitoring, in which a warning signal is given if the performance
declines. Since these methods are advanced you can expect the methods to be
described in scientific literature.
Problems in this area which will not
be treated in this report are:
1. Estimation of the performance.
Hypothesis testing of if this manager always have a poor performance.
Examination of how managers are influenced by being evaluated.
Keywords: Statistical surveillance; Fund manager; (follow links to similar papers)
JEL-Codes: C10; (follow links to similar papers)
8 pages, November 27, 2008
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