Tag: benchmark

Measuring the dispersion of share returns: the asset-weighted standard deviation

9 Nov 2017 | Manager skill

Market dispersion refers to the variation in returns of the market’s underlying securities. Opportunities for successful security selection abounds when market dispersion is high. Here we explain the methodology for calculating an asset-weighted standard deviation of share returns, often also referred to as the cross-sectional standard deviation.

Testing for investment skill: Benchmark or peers?

23 Jun 2017 | Market inefficiency

It is not possible to refute the existence of skilful investors, as explained in my previous post. So, can we test whether there are investment managers with skill by analysing their investment returns? Investment performance can only be judged on a relative basis. The two candidates to evaluate performance against are either a peer group or a defined benchmark. We consider the merits of both.

Tag: benchmark

Measuring the dispersion of share returns: the asset-weighted standard deviation

Testing for investment skill: Benchmark or peers?

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