Look-Ahead Benchmark Bias in Portfolio Performance Evaluation

Gilles Daniel; Didier Sornette; Peter Woehrmann

doi:10.3905/JPM.2009.36.1.121

Article

Look-Ahead Benchmark Bias in Portfolio Performance Evaluation

Gilles Daniel, Didier Sornette and Peter Woehrmann

The Journal of Portfolio Management Fall 2009, 36 (1) 121-130; DOI: https://doi.org/10.3905/JPM.2009.36.1.121

Gilles Daniel

is a research assistant in the department of management, technology, and economics at UBS Investment Bank in Opfikon, Switzerland.

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For correspondence: gillesdaniel@ethz.ch

Didier Sornette

holds the chair of Entrepreneurial Risks in the department of management, technology, and economics at ETH in Zürich, Switzerland.

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For correspondence: dsornette@ethz.ch

Peter Woehrmann

is a visiting assistant professor in the department of management science and engineering at Stanford University in Palo Alto, CA.

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For correspondence: peterw1@stanford.edu

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Look-Ahead Benchmark Bias in Portfolio Performance Evaluation

Gilles Daniel, Didier Sornette, Peter Woehrmann

The Journal of Portfolio Management Oct 2009, 36 (1) 121-130; DOI: 10.3905/JPM.2009.36.1.121

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Look-Ahead Benchmark Bias in Portfolio Performance Evaluation

Gilles Daniel, Didier Sornette, Peter Woehrmann

The Journal of Portfolio Management Oct 2009, 36 (1) 121-130; DOI: 10.3905/JPM.2009.36.1.121

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