TITLE

A More Informative Measure of Active Fund Performance

AUTHOR(S)
Nanigian, David
PUB. DATE
November 2011
SOURCE
Journal of Financial Planning;Nov2011, Vol. 24 Issue 11, p54
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
The article presents research paper concerning a new measure of active fund performance that assess funds in a structure connected with that investors searching to optimize the utility. It mentions that information ratio is one of the most popular schemes of performance used by practitioners, which assumes an inward utility function and integrates risk aversion. It notes that the significance of these developments is implied through comparative static analysis. Moreover, it states that by utilizing a sample of mutual funds, the paper demonstrates the differences in ranking of funds obtained by using the new measure rather than the information ratio.
ACCESSION #
67332740

 

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