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COMPOSITE MEASURES FOR THE EVALUATION OF INVESTMENT PERFORMANCE

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Author
Chua, Jess
Ang, James S
Accessioned
2010-11-26T22:17:36Z
Available
2010-11-26T22:17:36Z
Issued
1979
Other
CAPITAL market
FINANCIAL performance
SECURITIES
HOLDING period
FORECASTING
BUSINESS forecasting
FINANCIAL management
INVESTMENT analysis
Literature review
Subject
INVESTMENTS
RATE of return
Type
journal article
Metadata
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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.
Refereed
Yes
Article deposited according to publisher policy posted on SHERPA/ROMEO, 11/26/2010.
 
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.
Corporate
University of Calgary
Faculty
Haskayne School of Business
Url
http://journals.cambridge.org/action/displayJournal?jid=JFQ
Publisher
Cambridge University Press
Doi
http://dx.doi.org/10.11575/PRISM/34045
Uri
http://hdl.handle.net/1880/48285
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  • Haskayne School of Business Research & Publications

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