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Return decomposition of absolute-performance multi-asset class portfolios

Author

Listed:
  • Stefan Illmer
  • Wolfgang Marty

Abstract

The asset management industry is increasingly confronted with the investor’s demand for absolute-performance portfolios. Beside the challenge to come up with appropriate investment strategies, asset managers also face the problem of explaining the achieved results, especially whether these results were due to luck or skill. This last problem is even more complex because the methods currently available for evaluating the performance of an asset manager are not appropriate for absolute-performance portfolios. This article addresses this problem and presents a practical solution, especially for absolute-performance multi-asset class portfolios. Copyright Swiss Society for Financial Market Research 2007

Suggested Citation

  • Stefan Illmer & Wolfgang Marty, 2007. "Return decomposition of absolute-performance multi-asset class portfolios," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 21(1), pages 121-134, March.
    • Handle: RePEc:kap:fmktpm:v:21:y:2007:i:1:p:121-134
    DOI: 10.1007/s11408-006-0028-0
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    References listed on IDEAS

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    1. Voros, J., 1987. "The explicit derivation of the efficient portfolio frontier in the case of degeneracy and general singularity," European Journal of Operational Research, Elsevier, vol. 32(2), pages 302-310, November.
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    Cited by:

    1. Steve Hogan & Mitch Warachka, 2008. "Implied measures of relative fund performance," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 22(1), pages 47-66, March.
    2. Johann Burgstaller & Teodoro Cocca, 2011. "Efficiency in private banking: evidence from Switzerland and Liechtenstein," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(1), pages 75-93, March.

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    More about this item

    Keywords

    Absolute-performance; Benchmark; Performance measurement; Portfolio optimization; G10; G11;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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