Neben einer theoretischen Analyse ausgewählter klassischer und moderner Performancemaße präsentieren wir in diesem Papier eine speziell zum Zweck der Performanceanalyse entwickelte Erweiterung des Funktionsumfanges von MS-Excel. Der vorgestellte VBA-Quellcode ermöglicht es, die beschriebenen...

We investigate the relationship between a mutual fund's variation in factor exposures and its future performance. Using a dynamic state space version of Carhart (1997)'s four factor model to capture factor variation, we find that funds with volatile factor exposures underperform funds with...

We investigate the relationship between a mutual fund’s variation in systematic risk factor exposures and its future performance. Using a dynamic state space version of Carhart (1997)’s four factor model to capture risk factor variation, we find that funds with volatile risk factor exposures...

The S&P Indices Versus Active Funds (SPIVA) Scorecard report performance comparisons corrected for survivorship bias, shows equal- and asset-weighted peer averages, and provides measures of style consistency covering actively managed U.S. equity, international equity and fixed income mutual...

Alternative alpha represents risk-adjust absolute return of an alternative investing instrument regressed on alternative risk factors. Over the years, the definition is extended to the absolute return generated from alternative asset speculation -- long-only or long-short strategy on alternative...

In this note we sketch an initial tentative approach to funding costs analysis and management for contracts with bilateral counterparty risk in a simplified setting. We depart from the existing literature by analyzing the issue of funding costs and benefits under the assumption that the...