Performance

Giuseppe Galloppo ()
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Giuseppe Galloppo: Tuscia University

Chapter Chapter 2 in Asset Allocation Strategies for Mutual Funds, 2021, pp 43-150 from Springer

Abstract: Abstract In the analysis of fund performance, there are several statistics that can be considered. These statistics consider different aspects of return performance of funds, and above all, not all of them have the same predictive capacity of future returns. On the one hand, there are measures that use the discipline of social sciences statistics, on the other, there are typical measures of the asset management industry. From another point of view, there are still measures that come from econometrics and financial literature and that highlight particular skills of fund managers. In this chapter, these different measures are analyzed and their predictive capacity for future returns is verified.

Keywords: Equilibrium models; Return Base Measures; Risk Adjusted Performance Measures; Unconditional factor models; Conditional factor model (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-76128-8_2

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DOI: 10.1007/978-3-030-76128-8_2

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