Tagged In portfolio performance :
Quantifying Investing Skill: The Information Ratio
Quick, which manager is better? Manager A who consistently beats her benchmark by a full percentage point, or Manager B who sometimes beats the benchmark by as much as five percent, but who also can underperform the same benchmark by that same five percent? It’s not an easy question to answer. The difficulty lies in… Read more
Cluster portfolios using return correlation
Motivation You might already know that diversifying your investment over uncorrelated assets is a good way to reduce risk. That’s why people watch asset return correlation closely so they can make informed decision in portfolio construction. Correlation is important not only in identifying diversification opportunities but also in understanding investment strategies’ characteristics so that we… Read more