Using Average Internal Rates of Return for Investment Performance Measurement and Attribution

In this note we make use of theAverage Internal Rate of Return (AIRR) approach, first introduced in Magni (2010), to introduce a pair of metrics, opposed to IRR and TWRR, which measure the manager's performance and the investor's performance on the basis of the market values of the fund. We also underscore relations between manager's AIRR and the TWRR

MoreLess

Year of publication:	2016
Authors:	Magni, Carlo Alberto
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Kapitaleinkommen \| Capital income \| Messung \| Measurement \| Portfolio-Management \| Portfolio selection \| Performance-Messung \| Performance measurement \| Theorie \| Theory

Extent:	1 Online-Ressource (4 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: AMASES Conference, Pisa, 15-17 September 2011 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 2011 erstellt
Classification:	G11 - Portfolio Choice ; G12 - Asset Pricing ; D14 - Personal Finance ; E44 - Financial Markets and the Macroeconomy
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012978556