This paper offers a review of investment performance appraisal methods. The review starts with an exhaustive coverage of various methods ranging from early measures of risk-adjusted return to more recent methods including the rating given by ASSIRT, a financial services organisation that assess managed investment in Australia. We then extend the discussion to performance evaluations based on th...

The choice of an adequate risk measure in portfolio optimization depends to a large extent on the characteristics and dynamics underlying assets. For investors asset managers, range potential market risks provides much- needed insights into their Since this paper focuses multiple measures, it presents with better insight magnitude they are faced with. risk-reward target can be adjusted for broa...

Risk contributions of portfolios form an indispensable part risk adjusted performance measurement. The contribution a portfolio, e.g., in the Euler or Aumann-Shapley framework, is given by partial derivatives measure applied to portfolio return direction asset weights. For measures that are not positively homogeneous degree 1, however, known capital allocation principles do apply. We study clas...

The classical mean-variance investment model is simple, elegant, and popular. As such, it is also subject to criticisms. One unsatisfactory feature of the model is that variance treats the upside and downside equally as risks. In this regard, the downside Lower Partial Moments (LPM) are more attractive as alternative risk measures, since they only penalize the downside. In the meanwhile, consid...

A large number of trading rules based on technical analysis of prices are being used by investing community for generating trading signals for short term investments. As profitability of these trading rules vary, it is not easy to judge which particular rule really ‘works’. Instead of a single trading rule, combination of rules are likely to offer the portfolio benefits of better risk adjusted ...

The performance of country exchange-traded funds and closed-end funds is investigated over the 2002 to 2011 period. Operating characteristics (i.e., expense ratios and portfolio turnover) and investment results (i.e., return, risk, and risk-adjusted return) are studied for investment funds with at least ten years of data. We find that although exchange-traded funds have significantly lower expe...

The main goal of the present study is testing asymmetric risk pricing and comparing it with pricing of traditional risk measures in Tehran Stock Market. Accordingly, a sample consisting of 101 companies listed in Tehran Stock Market during 2002-2013 went under investigation. In order to test asymmetric risk pricing, regression model of panel data was applied. The results revealed a positive and...