Investment Portfolio Scenario Analysis in a Relative Return Framework
$25.00
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
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
Related products
-
A Model for a Global Investment Attribution Analysis
$25.00 -
A Modest Proposal to Modernize the Performance Evaluation of Hedge Funds
$25.00 -
A Jigsaw Puzzle of Basic Risk-adjusted Performance Measures
$25.00 -
A Consistent Linking Concept for Fast Calculations of the Rate of Return and Research of Investment
$25.00