SECURITIES AND EXCHANGE COMMISSION 17 CFR Part 271

This section closes with a review of the evidence for managed port- folio performance based on the traditional measures. This discussion touches on the issues of survivorship bias and persistence in perfor- mance, among other topics. Chapter 3 discusses Conditional Performance Evaluation. Here, the idea is to measure performance accounting for the fact that the expected returns and risks for investing may vary over time depend- ing on the state of the economy. An example motivates the approach. We then discuss simple modifications to the traditional measures that attempt to condition on the state of the economy by using lagged vari- ables as instruments....
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SECURITIES AND EXCHANGE COMMISSION 17 CFR Part 271