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Risk-Adjusted Performance Measurement

Pilar Grau Carles

in Investment Risk Management

Published in print:
2015
Published Online:
January 2015
ISBN:
9780199331963
eISBN:
9780190214098
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199331963.003.0019
Subject:
Economics and Finance, Financial Economics

The financial crisis of 2007–2008 reopened the debate about the need for identifying a correct risk measurement in financial time series. Different risk measurements give rise to different ... More


Attribution Analysis

Nanne Brunia and Auke Plantinga

in Portfolio Theory and Management

Published in print:
2013
Published Online:
May 2013
ISBN:
9780199829699
eISBN:
9780199979790
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199829699.003.0022
Subject:
Economics and Finance, Financial Economics

This chapter discusses performance attribution models allowing the observer to identify market timing and security selection skills of portfolio managers. The focus is on holdings-based models ... More


Risk Attribution Analysis

Philippe Bertrand

in Investment Risk Management

Published in print:
2015
Published Online:
January 2015
ISBN:
9780199331963
eISBN:
9780190214098
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199331963.003.0020
Subject:
Economics and Finance, Financial Economics

A common practice in the financial management industry is to combine portfolio risk attribution with performance attribution. Performance attribution considered alone is insufficient and can be ... More


Alternative Investments

Lars Helge Hass, Denis Schweizer, and Juliane Proelss

in Portfolio Theory and Management

Published in print:
2013
Published Online:
May 2013
ISBN:
9780199829699
eISBN:
9780199979790
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199829699.003.0014
Subject:
Economics and Finance, Financial Economics

Monthly return distributions of alternative assets are generally not normally distributed and typically show significantly smoothed returns, which can lead to an underestimation of risk. Furthermore, ... More


The Economics of Mutual Funds: Rewards and Risks

David M. Smith

in Mutual Funds and Exchange-Traded Funds: Building Blocks to Wealth

Published in print:
2015
Published Online:
November 2015
ISBN:
9780190207434
eISBN:
9780190207465
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190207434.003.0002
Subject:
Economics and Finance, Financial Economics

Mutual funds offer benefits over direct security investments, providing access to professionally managed, well-diversified, tax-efficient portfolios at low cost. For wealthy and sophisticated ... More


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