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This article suggests a simple approach to scenario analysis that clearly shows the frequency, magnitude, and statistical significance of over- and under-performance relative to a benchmark under different market environments. The convertible bond portfolio under review outperformed its benchmark in 70% of the months in which large cap value stocks beat large cap growth stocks for the ten years ended 9/30/08.
Author: Steven J. Lerit, CFA
Description
This article suggests a simple approach to scenario analysis that clearly shows the frequency, magnitude, and statistical significance of over- and under-performance relative to a benchmark under different market environments. The convertible bond portfolio under review outperformed its benchmark in 70% of the months in which large cap value stocks beat large cap growth stocks for the ten years ended 9/30/08.
Investment Portfolio Scenario Analysis in a Relative Return Framework
