Wednesday, January 20, 2016
Benchmarking Benchmarks: Much Ado About Nothing
By Yuliya Plyakha, University of Luxembourg, Luxembourg School of Finance
Conventional wisdom holds that choosing a benchmark is one of the most important aspects in evaluating an investment strategy's performance. There is a great deal of academic research to support the use of a traditional, value-based benchmark, but fundamentals-based and optimization-based benchmarks have been put forth as superior alternatives. Comparing the three in “Benchmarking Benchmarks: Much Ado About Nothing,” Yuliya Plyakha, (University of Luxembourg, Luxembourg School of Finance) finds little real difference. Regardless of the benchmark used, portfolio managers are still looking at the same underlying data.
Download the full article here.
From the January 2016 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Conventional wisdom holds that choosing a benchmark is one of the most important aspects in evaluating an investment strategy's performance. There is a great deal of academic research to support the use of a traditional, value-based benchmark, but fundamentals-based and optimization-based benchmarks have been put forth as superior alternatives. Comparing the three in “Benchmarking Benchmarks: Much Ado About Nothing,” Yuliya Plyakha, (University of Luxembourg, Luxembourg School of Finance) finds little real difference. Regardless of the benchmark used, portfolio managers are still looking at the same underlying data.
Download the full article here.
From the January 2016 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, equal-risk contribution, fundamentals-based index, hedge fund benchmarking, market efficiency, minimum-variance, portfolio optimization
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