Despite the widespread use of information ratios to gauge the performance of active money
managers, confusion persists over how to calculate an information ratio, how to interpret it …

This study undertook an empirical survey of the factors, which mostly influence individual
investor behavior in the Greek stock exchange. The results revealed by our sample of 150 …

This paper extends the Treynor performance ratio for a single index to the case of multiple
indexes. The new measure, called the Generalized Treynor Ratio, preserves the same key …

BACKGROUND: The steel industry in South Africa suffered significantly when imported steel
took over the market and collapsed big players in the industry in the last decade. The …

The relevance of the information ratio and the alpha, two leading performance measures for
multi-index models, depends on the type of portfolio held by investors. We compare these …

The information ratio is one of the most important measures when choosing among
investment funds. We show numerically and analytically that the classic single-index …

Authoritative, up-to-date research and analysis that provides a dramatic new understanding
of the rewards-and risks-of investing in CTAs Commodity Trading Advisors (CTAs) are an …

The information ratio is a very controversial topic in the business world. Some portfolio
managers put a lot of weight behind this risk-analysis measurement while others believe that …

We develop methods for testing factor models when the weights in portfolios of factors and
test assets can vary with lagged information. We derive and evaluate consistent standard …

LBS Capital Management employs a system for managing several large investment
portfolios that is founded on financial engineering principles. Over three thousand neural …