Assessing portfolio performance using asset pricing kernels, Working Paper
Bibliographic record
Abstract
The Stochastic Discount Factor (SDF) representation or asset pricing kernel approach provides a general and convenient framework to price various financial assets. We use this general asset pricing framework to derive a conditional asset pricing kernel that accounts efficiently for time variation in expected returns and risk. Our model is suitable to perform unconditional evaluations of fixed-weight strategies and (un)conditional evaluations of dynamic strategies. We develop the appropriate empirical framework for the estimation of the performance measures and their associated tests using the GMM of Hansen (1982). We examine the performance of Canadian equity mutual funds over the period, November 1989 through December 1999. The results indicate that there is evidence of abnormal unconditional performance and that performance deteriorates and becomes negative using the conditional asset pricing kernel model. Moreover, the performance statistics are weakly sensitive to changes in the level of relative risk
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.003 | 0.022 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.001 | 0.002 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.002 | 0.001 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.001 | 0.000 |
| Insufficient payload (model declined to judge) | 0.002 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".