Selectivity, Market Timing and the Morningstar Star-Rating System
نویسندگان
چکیده
منابع مشابه
Performance Measurement with Market and Volatility Timing and Selectivity
To measure the investment performance of a portfolio manager who may engage in market timing, it is necessary to consider both market level and volatility timing behavior as well as security selection ability. We develop and implement measures that accommodate all three components. A well specified measure of performance is the sum of the three components of ability. Estimating the measures on ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2009
ISSN: 1556-5068
DOI: 10.2139/ssrn.1360637