Category Archives: Performance
Performance ratios, bootstrapping and infinite variances
If returns had infinite variance, would there be a problem bootstrapping information ratios? Background There is a discussion on the Quant Finance group of LinkedIn with the title: “How do you measure the confidence intervals of performance ratios?” One suggestion was to use the statistical bootstrap. This resulted in a discussion of the efficacy of … Continue reading
Posted in Performance, R language
Tagged infinite variance, information ratio, qqplot, statistical bootstrap
3 Comments
What is a good benchmark?
One suggestion is that benchmarks should be: transparent & unambiguous frame-able & customize-able appropriate with full coverage investable The source of this suggestion is Setting the Benchmark: Spotlight on Private Equity. This was discussed by All About Alpha. The paper considers indices and peer groups as benchmarks. They did not consider random portfolios. Let’s look … Continue reading
A tangle of luck and skill
Some concrete steps for discerning skill from luck. The Harvard Business Review published a guest blog post by Michael Mauboussin called Untangling Skill and Luck. That post is really a brief introduction to a longer piece which is also called Untangling Skill and Luck. The punchline is that there are ways of estimating the proportion … Continue reading
Dicing with the market
How to visualize luck when looking for skill. Quantitative Finance just published the paper Dicing with the market: randomized procedures for evaluation of mutual funds by Francesco Lisi. Here is the working paper version. This paper explains one way of using random portfolios to do performance measurement of investment funds. It includes performance measures on … Continue reading
Posted in Performance, Random portfolios
Tagged investment performance measurement, luck versus skill
1 Comment
A performance step beyond “Economists’ Hubris”
The paper “Economists’ Hubris — The case of equity asset management” (SSRN) by Shojai, Feiger and Kumar has achieved some measure of notoriety. It has mentions in the MoneyScience blog and in the Financial Times among other places. A response to the article by Paul Kaplan of Morningstar is at Investment Week. If I may … Continue reading
