Download e-book for iPad: Benchmarks and Attribution Analysis by Christopher G. Luck, Thomas M. Richards, Kevin Terhaar,

By Christopher G. Luck, Thomas M. Richards, Kevin Terhaar, Jeffrey V. Bailey, Wayne A. Kozun, Lee N. Price

ISBN-10: 0935015647

ISBN-13: 9780935015645

Funding functionality, even if of portfolios or person managers, can't be evaluated and not using a functionality yardstick (i.e., a benchmark); even if, deciding on the incorrect benchmark should be as harmful as negative portfolio administration. The authors during this lawsuits talk about what constitutes a suitable benchmark, the best way to pick out applicable benchmarks, and the way to behavior attribution research, either chance and go back.

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Extra resources for Benchmarks and Attribution Analysis

Sample text

In the past, a manager may have said, “I manage C$500 million in assets,” but this type of quantification no longer matters. What is relevant is the amount of risk someone manages, and this approach has led to some alpha-transport-type strategies. One result is that our Canadian active equity managers, who previously had C$4 billion under management, now run a long–short strategy and have much greater flexibility in managing their portfolios. They can short a wide variety of stocks, not just stocks that are weighted in the benchmark.

Finding 14 years of history on Egyptian stocks is impossible, so a history based on certain assumptions must be created. To create a history of returns for Egyptian stocks, a proxy, such as data on stocks in Malaysia, can be chosen to simulate a manager’s view on the riskiness of Egyptian stocks. S. stocks, for example, we measure risk on an individual stock basis. We have daily stock prices from 1986 through the present, and for each stock, we calculate the profits and losses we expect to earn by holding those stocks.

The benchmark weights are the same as the policy allocations to the asset categories, so this investment policy benchmark satisfies the properties of a valid benchmark—unambiguous, investable, specified in advance, and so on. Although I cannot definitively say which total fund benchmark is the most appropriate one to use, ©2001, AIMR® 6/96 VAM 6/97 6/98 6/99 6/00 Lower (10%) I can unequivocally state what constitutes an inappropriate total fund benchmark. , fund universes) are not appropriate total fund benchmarks.

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Benchmarks and Attribution Analysis by Christopher G. Luck, Thomas M. Richards, Kevin Terhaar, Jeffrey V. Bailey, Wayne A. Kozun, Lee N. Price


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