The Sustainability of Investment Decision Making

Paul J. M. Klumpes

Journal of Behavioral Finance, 2024, vol. 25, issue 2, 181-193

Abstract: This paper develops and tests a new multi-attribute, behavioral based measure of mutual fund performance, based at the portfolio decision-making rather than trade level, using the alpha score, hit rate and the win-loss ratio. These measures are then combined to develop a multi-attribute measure of “efficiency”; the author decomposes this into technical, scale, and mix efficiency scores and then separately measure this for overweight and underweight portfolio positions. The author finds that the variations in average technical and mix efficiency scores related to win-loss ratios (hit rates) for relatively overweight (underweight) positions are statistically significant. These findings suggest that the sustainability of investment performance is evidenced from win-to-loss ratios and hit rate in ways that are not exhibited by the alpha performance measure.

Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/15427560.2022.2100382 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:hbhfxx:v:25:y:2024:i:2:p:181-193

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/hbhf20

DOI: 10.1080/15427560.2022.2100382

Access Statistics for this article

Journal of Behavioral Finance is currently edited by Brian Bruce

More articles in Journal of Behavioral Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().