Tailoring Manager Allocation to Market Conditions Using Alpha Optimization: Part 2

$25.00

In Part 2, we extend our analysis further to solve a practical problem in manager allocation, which is how to make optimal use of new information on manager performance and market outcomes to reallocate to investment managers.  We show that the specific performance outcome of a group of managers can be separated into (1) manager performance, (2) allocation performance, and (3) environmental expectations.

Authors: Eric A Stubbs, Ph.D., RBC Wealth Management and Enrique Jaen, Ph.D., RBC Wealth Management

In Part 2, we extend our analysis further to solve a practical problem in manager allocation, which is how to make optimal use of new information on manager performance and market outcomes to reallocate to investment managers.  We show that the specific performance outcome of a group of managers can be separated into (1) manager performance, (2) allocation performance, and (3) environmental expectations.

Reviews

There are no reviews yet.

Only logged in customers who have purchased this product may leave a review.

Free Subscription!

The Journal of Performance Measurement

The Performance Measurement Resource.

Click to Subscribe