Abstract
The asset management industry is increasingly confronted with the investor’s demand for absolute-performance portfolios. Beside the challenge to come up with appropriate investment strategies, asset managers also face the problem of explaining the achieved results, especially whether these results were due to luck or skill. This last problem is even more complex because the methods currently available for evaluating the performance of an asset manager are not appropriate for absolute-performance portfolios. This article addresses this problem and presents a practical solution, especially for absolute-performance multi-asset class portfolios.
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Illmer, S.J., Marty, W. Return decomposition of absolute-performance multi-asset class portfolios. Fin Mkts Portfolio Mgmt 21, 121–134 (2007). https://doi.org/10.1007/s11408-006-0028-0
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DOI: https://doi.org/10.1007/s11408-006-0028-0