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The Journal of Portfolio Management

The Journal of Portfolio Management

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Primary Article

A Fresh Look at Investment Performance Evaluation

Ronald J. Surz
The Journal of Portfolio Management Summer 2006, 32 (4) 54-65; DOI: https://doi.org/10.3905/jpm.2006.644195
Ronald J. Surz
President of PPCA, a software firm in San Clemente, CA.
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Abstract

A modern-day application of classical statistics unifies the two approaches of peer group analysis and indexes to better differentiate investment manager success from failure. Portfolio simulations create random portfolios that conform to an individual manager's approach, thereby customizing performance evaluation for each manager. This simulation technology is not new or hypothetical. It has been used to evaluate traditional long-only managers for more than a decade and has recently been extended to hedge funds. Examples demonstrate manager evaluation using portfolio simulations as the backdrop.

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The Journal of Portfolio Management
Vol. 32, Issue 4
Summer 2006
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A Fresh Look at Investment Performance Evaluation
Ronald J. Surz
The Journal of Portfolio Management Jul 2006, 32 (4) 54-65; DOI: 10.3905/jpm.2006.644195

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A Fresh Look at Investment Performance Evaluation
Ronald J. Surz
The Journal of Portfolio Management Jul 2006, 32 (4) 54-65; DOI: 10.3905/jpm.2006.644195
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