376 Index
Rahman, S., 345, 356
RAP, see Risk-adjusted performance
RAR, see Risk-adjusted rating of
performance
Rate of return (ROR), 32941
alternative methodologies, 3312
day-weighted Dietz, 3346, 340
definition, 32930
differences between methods, 33941
end-of-day, 338, 340
formulae, 32941
mid-point Dietz, 333, 340
middle-of-day, 3389, 340
scenario for comparisons, 332
start-of-day, 337, 340
true daily rate of return, 3369
Ravenscraft, D., 262, 275
Return-based style analysis of
performance, 647
Richards, A.J., 262
Richardson, M., 234, 244
Risk adjusted performance (RAP), 245,
26
Risk-adjusted rating of performance
(RAR), 569
Risk-return performance of a
professionally managed portfolio,
214–19
Rockinger, M., 187, 188, 189
Roll, R., 6, 7, 60, 167, 220, 233, 234n,
263, 273
ROR, see Rate of return
Ross, S., 61, 63, 233
Rossi, P.E., 231n, 239, 247
Rubinstein, M., 94n
Runkle, D.E., 239, 248
SAA, see Strategic Asset Allocation
Salmon, Professor M., xii, xv, 195
Sampling error in evaluation of
performance, 979
Satchell, Dr S.E., xii, 54, 75, 161, 164,
166, 173, 261, 263, 264, 282
Schadt, R., 20, 21, 126, 347
Scharfstein, D.S., 293
Schliefer, A., 40, 287
Scholes, M., 96, 97
Schwert, G.W., 231n, 233, 239
Sciubba, Dr E., xii, xvi, 306n
Scotia McLeod Government Bond Index,
216
Scotia McLeod Publications, 201
Scowcroft, A., 273
Security selection in active portfolio
management, 3, 4
Shanken, J., 61, 63, 240n
Sharpe, W., 3, 4, 5, 25, 26, 27, 51, 59,
65, 92, 124
Sharpe ratio, 4, 25, 50, 52, 53, 62, 924,
162, 164, 172, 195, 196
Sharpe style analysis, 267
Sheppard, W.F., 266
Shiller, R., 281, 287n
Shleifer, A., 286, 345, 351
SHM, see Signed Herding Measure
Shukla, R., 64
Signed Herding Measure of performance
(SHM), 412
Simulation of portfolio performance,
142–59
advantages, 1467, 159
applications, 1579
benchmark and constraint
evaluation, 158
long-short simulation, 157
multiple period simulations, 1578
selection of metric, 158
examples, 14757
asset allocation with holding
constraints, 1502
domestic portfolio with different
numbers of holdings, 1557
international portfolio using equity
futures, 1525
single period tactical asset
allocation, 14850
limitations of conventional analysis,
142–5
methodology, 146
numbers of simulations, 152
objectives of simulations, 1456
S
¨
oderlind, P., 68
Solnik, B., 233
Spaulding, David, xii, xvi
SRAP, see Style/risk-adjusted
performance

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