Performance-Messung: Eine empirische Untersuchung unter Berücksichtigung von Modellen mit variablen Parametern
Swiss Journal of Economics and Statistics (SJES), 1995, vol. 131, issue IV, 673-700
This paper presents a new method to distinguish between timing and selection ability within the risk-adjusted performance measurement approach. First, using a model with time-varying coefficients, the time path of the market risk of the analysed portfolio is determined. Then, the separation of timing and selection skills is performed. Simulations show that the new technique depends less on outliers in the time series of the benchmark portfolio. In addition, the problems with measuring the selection ability when the portfolio manager has timing ability are less pronounced than when the classical timing models are used.
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Persistent link: https://EconPapers.repec.org/RePEc:ses:arsjes:1995-iv-5
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