Measuring Investment Skill in Multi-Asset Strategies: An Empirical Study of the Information Coefficient as Weighted Rank Correlation

Steve Q. Xia; Joseph Simonian

doi:10.3905/jpm.2021.1.208

Measuring Investment Skill in Multi-Asset Strategies: An Empirical Study of the Information Coefficient as Weighted Rank Correlation

Steve Q. Xia and Joseph Simonian

The Journal of Portfolio Management Multi-Asset Special Issue 2021, jpm.2021.1.208; DOI: https://doi.org/10.3905/jpm.2021.1.208

Steve Q. Xia

is a senior managing director at Guardian Life in New York, NY, and a professor of the practice of finance at Brandeis University.

Find this author on Google Scholar
Find this author on PubMed
Search for this author on this site

Joseph Simonian

is the founder and CIO of Autonomous Investment Technologies LLC in Newton, MA.

Find this author on Google Scholar
Find this author on PubMed
Search for this author on this site

Article
Info & Metrics
PDF (Subscribers Only)

Explore our content to discover more relevant research

By topic
Across journals
From the experts
Monthly highlights
Special collections

In this issue

The Journal of Portfolio Management

Vol. 47, Issue 5

Investment Models 2021

Table of Contents
Index by author
Complete Issue (PDF)

Download PDF

Article Alerts

User Name *

Password *

Email *

Email Article

Thank you for your interest in spreading the word on The Journal of Portfolio Management.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Your Email *

Your Name *

Send To *

Enter multiple addresses on separate lines or separate them with commas.

You are going to email the following Measuring Investment Skill in Multi-Asset Strategies: An Empirical Study of the Information Coefficient as Weighted Rank Correlation

Message Subject (Your Name) has sent you a message from The Journal of Portfolio Management

Message Body (Your Name) thought you would like to see the The Journal of Portfolio Management web site.

Your Personal Message

CAPTCHA

This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.

Citation Tools

Measuring Investment Skill in Multi-Asset Strategies: An Empirical Study of the Information Coefficient as Weighted Rank Correlation

Steve Q. Xia, Joseph Simonian

The Journal of Portfolio Management Jan 2021, jpm.2021.1.208; DOI: 10.3905/jpm.2021.1.208

Citation Manager Formats

BibTeX
Bookends
EasyBib
EndNote (tagged)
EndNote 8 (xml)
Medlars
Mendeley
Papers
RefWorks Tagged
Ref Manager
RIS
Zotero

Save To My Folders

User Name *

Password *

Remember my user name & password.

Measuring Investment Skill in Multi-Asset Strategies: An Empirical Study of the Information Coefficient as Weighted Rank Correlation

Steve Q. Xia, Joseph Simonian

The Journal of Portfolio Management Jan 2021, jpm.2021.1.208; DOI: 10.3905/jpm.2021.1.208

Share This Article:

Tweet Widget Facebook Like

Jump to section

Article
Info & Metrics
PDF (Subscribers Only)
PDF (Subscribers Only)

Cited By...

No citing articles found.

Google Scholar

Main menu

User menu

Search

The Journal of Portfolio Management

Measuring Investment Skill in Multi-Asset Strategies: An Empirical Study of the Information Coefficient as Weighted Rank Correlation

Explore our content to discover more relevant research

In this issue

Citation Manager Formats

Similar Articles

Cited By...

MORE FROM PMR

INFORMATION FOR

GET INVOLVED

Main menu

User menu

Search

Measuring Investment Skill in Multi-Asset Strategies: An Empirical Study of the Information Coefficient as Weighted Rank Correlation

Explore our content to discover more relevant research

In this issue

Citation Manager Formats

Jump to section

Similar Articles

Cited By...

Stay Connected