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’

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