Dynamic Alpha: A Spectral Decomposition of Investment Performance Across Time Horizons
Copyright: © 2018 INFORMS The value added by an active investor is traditionally measured using alpha, tracking error, and the information ratio. However, these measures do not characterize the dynamic component of investor activity, nor do they consider the time horizons over which weights are chan...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Institute for Operations Research and the Management Sciences (INFORMS)
2021
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| Online Access: | https://hdl.handle.net/1721.1/135075 |