making sense of 100's of funds
Jab, Thanks for the tip, and hopefully that is something like where I will end up. Ultimately I want to create some sort of personal investment portfolio but the learning exercise to get there is also important to me, including trying techniques that may be less applicable and understanding why. cheers
BBands wrote:
On 8/19/07, Patrick Burns <patrick at burns-stat.com> wrote:
That paper talks about the effects of asynchrony and proposes a method of backing out data without asynchrony. Our investigation suggested that using weekly data is adequate for avoiding asynchrony effects.
We have done a lot of work on this problem and agree with the choice
of weekly data.
Paul,
The use of benchmarks may not be the optimal path in this application,
relatively simple ranking might be more viable. As a compromise, you
might try looking at ranked Sharpe ratios...
jab