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Results tagged with performance-evaluation
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user 520
4
votes
Separating the wheat from the chaff: What quant methods separate skillful managers from luck...
I was going to suggest that you use alpha, which is the measure of a managers excess return beyond their benchmark. But here is an alternative view which is quite interesting.
http://money.usnews.co …
- 1,044
1
vote
Is there a performance measure for the entire efficient frontier?
Probably under utilized is the Area Under the Curve (AUC or ROC). Assuming a straight level represents equal increments of reward and risk, measuring the mean variance line area under the curve (as co …
- 1,044