, we find that the performance measures for an equally weighted portfolio of procyclical timing funds are greater than for …

In this paper we prove that partial-moments-based performance measures (e.g., Omega, Kappa, upside-potential ratio …, Sortino–Satchell ratio, Farinelli–Tibiletti ratio), value-at-risk-based performance measures (e.g., VaR ratio, CVaR ratio …, Rachev ratio, generalized Rachev ratio), and other admissible performance measures are a strictly increasing function in the …

When analyzing relative performance, especially at the institutional level, the traditional data envelopment analysis … efficiency of a decision-making unit into two components and demonstrate its applicability by assessing the relative performance … deteriorated in performance, and those that improved in their performance over the sample period. We also make frontier projections …

performance measures to predict subsequent fund failure. We examine the probability of disappearance over a time window, and …. Survivorship predictability has significant economic value. Such evidence suggests that past performance does not only influence … investors’ perception of fund quality, but also reflects managers’ ability to sustain performance. …