The traditional fund-by-fund performance evaluation method suffers from various econometric problems such as multiple hypothesis testing, time-varying coefficients, cross-sectional dependence, etc. To overcome these problems, we tailor three high-dimensional cross-sectional tests to empirically...

In a passive investing strategy through indexation, the portfolio performance will depend largely on the ability to choose the best index. In this paper, we study the performance of four of the main stock indices in Mexico with the intention of selecting the best one for a passive investing...

This chapter is both a primer on estimation methods for assessing risk and return in private equity and a survey of the empirical literature. Most private equity investments are made by private funds that raise capital from institutions and wealthy individuals. Performance data is collected...