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Portfolio Performance Manipulation and Manipulation-proof Performance Measures
Review of Financial Studies, 2007Numerous measures have been proposed to gauge the performance of active management. Unfortunately, these measures can be gamed. Our article shows that gaming can have a substantial impact on popular measures even in the presence of high transactions costs.
William Goetzmann +3 more
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Performance and Portfolio Management
Financial Analysts Journal, 1967(1967). Performance and Portfolio Management. Financial Analysts Journal: Vol. 23, No. 5, pp. 123-127.
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REAL ESTATE PORTFOLIO PERFORMANCE
Journal of Valuation, 1984This paper will take the practical line of looking into the ‘What, How, Why, When and Where’ of performance measurement. The history of performance measurement will be reviewed and the distinction between the various methods of calculation highlighted.
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Financial Analysts Journal, 2000
Fund managers may sensibly be averse to earning a time-averaged portfolio return that is less than the average return of some designated benchmark. When a portfolio is expected to earn a higher average return than the benchmark return, the probability that it will not approaches zero asymptotically at a computable exponential decay rate.
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Fund managers may sensibly be averse to earning a time-averaged portfolio return that is less than the average return of some designated benchmark. When a portfolio is expected to earn a higher average return than the benchmark return, the probability that it will not approaches zero asymptotically at a computable exponential decay rate.
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Conditional performance attribution for equity portfolio
2012The influence of the three Performance Attribution (PA) components (Asset Allocation, Stock Selection and Interaction) on the extra-return provided by an equity portfolio is investigated by simulating a style investing approach based on a Micro Decision Making (MDM) model. A Monte Carlo experiment is carried out in order to consider different scenarios
CONVERSANO, CLAUDIO, LIZZERI A.
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Portfolio Selection and Investment Performance
The Journal of Finance, 1965Irwin Friend, Douglas Vickers
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