This paper introduces a panel regression framework for holdings-based investment performance measures. Fixed effects decompose performance into time series and cross-sectional predictive ability. Time-series predictive ability is the traditional focus, but cross-sectional ability strongly...

To measure the investment performance of a portfolio manager who may engage in market timing, it is necessary to consider both market level and volatility timing behavior as well as security selection ability. We develop and implement measures that accommodate all three components. A well...