Please use this identifier to cite or link to this item:
Authors: Chua, Jess
Ang, James S
Keywords: INVESTMENTS;RATE of return
Issue Date: 1979
Publisher: Cambridge University Press
Citation: Ang, James S.; Chua, Jess H."Composite measures for the evaluation of investment performance", Journal of Financial & Quantitative Analysis, Jun79, Vol. 14 Issue 2, p361-384.
Abstract: The article addresses composite measures of investment performance. The author identifies some of the challenges posed by previous measures, particularly ex ante measures that are not directly applicable to ex post performance. Other efforts that address predictability are considered. The author considers that systematic biases may be hindering the success of these measures, and this article posits that these biases could be caused by a deficiency of not considering asymmetry of return distributions and an inability to specify the correct holding period. The article presents a literature review, and develops a composite performance measure that takes into account advances in Capital Market theory.
Description: Article deposited according to publisher policy posted on SHERPA/ROMEO, 11/26/2010.
ISSN: 0022-1090
Appears in Collections:Chua, Jess

Files in This Item:
File Description SizeFormat 
Chua_Composite_1979_publishercopy.pdf946.16 kBAdobe PDFView/Open

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.