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Calculating outperformance in dollars : introducing the excess value method
Turetsky, Avi; Pyrz, Matthew; Griffiths, Barry; Lujan, … - In: The journal of portfolio management : JPM 47 (2021) 6, pp. 194-215
Persistent link: https://www.econbiz.de/10012517352
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Pseudo-Naive Approaches to Investment Performance Measurement
Magni, Carlo Alberto - 2018
This paper applies Magni's (2011) Aggregate Return On Investment (AROI)to investment performance measurement. We show …
Persistent link: https://www.econbiz.de/10012937598
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Using Average Internal Rates of Return for Investment Performance Measurement and Attribution
Magni, Carlo Alberto - 2016
In this note we make use of theAverage Internal Rate of Return (AIRR) approach, first introduced in Magni (2010), to introduce a pair of metrics, opposed to IRR and TWRR, which measure the manager's performance and the investor's performance on the basis of the market values of the fund. We also...
Persistent link: https://www.econbiz.de/10012978556
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Risk measures in finance : congruent or contrasting?
Lalwani, Vaibhav; Bedi, Prateek; Shankar, Devesh - In: Business analyst : a refereed journal of Shri Ram … 39 (2018) 1, pp. 165-180
Persistent link: https://www.econbiz.de/10012391033
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Forecasting long-horizon volatility for strategic asset allocation
Cardinale, Mirko; Naik, Narayan Y.; Sharma, Varun - In: The journal of portfolio management : JPM 47 (2021) 4, pp. 83-98
Persistent link: https://www.econbiz.de/10012486044
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Measuring investment skill in multi-asset strategies : an empirical study of the information coefficient as weighted rank correlation
Xia, Steve Q.; Simonian, Joseph - In: The journal of portfolio management : JPM 47 (2021) 4, pp. 135-144
Persistent link: https://www.econbiz.de/10012486055
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Gesamtrisiko versus Marktrisiko in der Performancemessung : für individuelle Anlageentscheidungen sind häufig beide Risikomaße relevant
Wilkens, Marco; Scholz, Hendrik - 2000
Persistent link: https://www.econbiz.de/10001737807
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Einflussfaktoren auf die Performance von Immobilien-Direktanlagen
Kurzrock, Björn-Martin - 2007
Persistent link: https://www.econbiz.de/10003508475
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A bias in Jensen’s alpha when returns are serially correlated
Kang, Jangkoo; Lee, Soonhee - In: Theoretical economics letters 3 (2013) 3, pp. 188-190
Persistent link: https://www.econbiz.de/10010239686
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The best of both worlds : forecasting US equity market returns using a hybrid machine learning-time series approach
Wang, Haifeng; Ahluwalia, Harshdeep Singh; … - In: The journal of financial data science 3 (2021) 2, pp. 9-20
Persistent link: https://www.econbiz.de/10012519234