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Using a sample of monthly asset classes from January 1990 to December 2016, we provide a comprehensive and more consistent approach to analyse and compare the risk-return relationships of Australian superannuation investment options. In estimating the risk profiles of the investment options, we...
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Performance attribution is extended to an enterprise level based on the keel model introduced here. Changes in enterprise value are decomposed into four components. The horizon component captures change attributable to time. The base-rate component captures movement in some reference term...
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This paper introduces an alternate measure of idiosyncratic risk leveraged from the decomposition method to further eliminate the residual systematic risk inherent in the factor asset pricing model. Combining both complementary techniques contributes to a more comprehensive firm-level...
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