Measuring Investment Skills of Fund Managers

• Main Authors: CHUA, Choong Tze, KOH, Winston T. H.
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2007
• 主題: Finance and Financial Management; Portfolio and Security Analysis
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/1072; https://doi.org/10.1080/09603100500447586
• 機構: Singapore Management University

This article concerns the measurement of the investment skills of fund managers. A method is proposed that allows for a measurement and comparison of fund managers’ performance across time and asset portfolios. The measure, the ‘Excess Sharpe Ratio’ (ESR) involves the construction of an approp...