SelectionShare & TimingShare | Masterfully Written by Delightfully Responsive Author

October 3, 2014

(This article was first published on Timely Portfolio, and kindly contributed to R-bloggers)

Anders Ekholm has written a wonderful paper Ekholm, Anders G. Components of Portfolio Variance: Systematic, Selection and Timing August 8, 2014 demonstrating how we might decompose a money manager’s performance with just a return stream.  Since his method relies simply on the return stream, he overcomes one of the biggest challenges of the Petajisto / Cremers’

To leave a comment for the author, please follow the link and comment on their blog: Timely Portfolio. offers daily e-mail updates about R news and tutorials on topics such as: Data science, Big Data, R jobs, visualization (ggplot2, Boxplots, maps, animation), programming (RStudio, Sweave, LaTeX, SQL, Eclipse, git, hadoop, Web Scraping) statistics (regression, PCA, time series, trading) and more...

If you got this far, why not subscribe for updates from the site? Choose your flavor: e-mail, twitter, RSS, or facebook...

Comments are closed.

Search R-bloggers


Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)

Click here to close (This popup will not appear again)