Dynamic alpha: A spectral decomposition of investment performance across time horizons
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 changed. In this paper, we pro...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
INFORMS Inst.for Operations Res.and the Management Sciences
2019
|
| Subjects: | |
| Online Access: | View Fulltext in Publisher |