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| Author: | Stutzer, M. |
| Title: | A portfolio performance index |
| Journal: | Financial Analysts' Journal
2000 : MAY/JUN, VOL. 56:3, p. 52-61 |
| Index terms: | BENCHMARKING OPTIONS DERIVATIVE SECURITIES |
| Language: | eng |
| Abstract: | Fund managers may sensibly be adverse to earning a time-averaged portfolio return that is less than the average return of some designated benchmark. When a portfolio is expected to earn a higher average return than the benchmark return, the probability that it will not approaches zero asymptotically at a computable exponential decay rate. The probability decay rate is thus proposed here as a new portfolio "performance index". |
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