Picking through the Alpha Graveyard: Correcting for Survivorship Bias in Investment Product Universities
Series: . 3 ; 16Publication details: 2018-07-25Description: 12Subject(s): In: JOURNAL OF INVESTMENT MANAGEMENTSummary: "The Authors propose a practical technique to correct for survivirship bias across return distributions for investment product universities. The technique is designed to work efficiently in a large-scale performance measurement environment. It uses all available data for survivors and non-survivors corrects for bias across the full distribution and can be applied to other return-based statistics such as Sharpe ratio, standard deviation and correlation. The technique is applied to a variety of product universities over a 10 year period to highest the practical ways that it can be used to improve the investment decision making process."| Item type | Current library | Status | Barcode | |
|---|---|---|---|---|
| Article | St. Francis Institute of Management and Research | Available | AR0747 |
"The Authors propose a practical technique to correct for survivirship bias across return distributions for investment product universities. The technique is designed to work efficiently in a large-scale performance measurement environment. It uses all available data for survivors and non-survivors corrects for bias across the full distribution and can be applied to other return-based statistics such as Sharpe ratio, standard deviation and correlation. The technique is applied to a variety of product universities over a 10 year period to highest the practical ways that it can be used to improve the investment decision making process."
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