Scandinavian Working Papers in Economics
Research Reports,
University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law
No 2008:4: On statistical surveillance of the performance of fund managers
Linus Schiöler () and Marianne Frisén ()
Additional contact information
Linus Schiöler: Statistical Research Unit, Department of Economics, School of Business, Economics and Law, Göteborg University, Postal: Statistical Research Unit, Göteborg University, Box 640, SE 40530 GÖTEBORG
Marianne Frisén: Statistical Research Unit, Department of Economics, School of Business, Economics and Law, Göteborg University, Postal: Statistical Research Unit, Göteborg University, Box 640, SE 40530 GÖTEBORG
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.
2. Hypothesis testing of if this manager always have a poor performance.
3. Examination of how managers are influenced by being evaluated.
Keywords: Statistical surveillance; Fund manager
JEL-codes: C10
8 pages, November 27, 2008
Full text files
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