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Performance Analysis Based on Adequate Risk-Adjusted Measures

https://doi.org/10.26794/2308-944X-2018-6-2-5-18

Abstract

There are many potential investment options for investors and they should be able to compare them on a risk-adjusted basis. If investors rely only on pure return they can be exposed to a high risk. Therefore, many investors rely on adequate performance measures to evaluate potential investment opportunities. In this paper, we describe widely used risk-adjusted performance measures and add correlation through the M3 measure. We apply described measures to real financial data in order to rank managers and compare rankings between measures. We also look at the following year measures to compare the results with predictions.

About the Authors

A. Melnikov
University of Alberta
Russian Federation


D. Vyachkileva
University of Alberta
Russian Federation


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Review

For citations:


Melnikov A., Vyachkileva D. Performance Analysis Based on Adequate Risk-Adjusted Measures. Review of Business and Economics Studies. 2018;6(3):5-18. (In Russ.) https://doi.org/10.26794/2308-944X-2018-6-2-5-18



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ISSN 2308-944X (Print)
ISSN 2311-0279 (Online)