COMPOSITE MEASURES FOR THE EVALUATION OF INVESTMENT PERFORMANCE
Accessioned
2010-11-26T22:17:36ZAvailable
2010-11-26T22:17:36ZIssued
1979Other
CAPITAL marketFINANCIAL performance
SECURITIES
HOLDING period
FORECASTING
BUSINESS forecasting
FINANCIAL management
INVESTMENT analysis
Literature review
Subject
INVESTMENTSRATE of return
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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
YesArticle deposited according to publisher policy posted on SHERPA/ROMEO, 11/26/2010.