Picking through the Alpha Graveyard: Correcting for Survivorship Bias in Investment Product Universities
Gregory C Allen
Picking through the Alpha Graveyard: Correcting for Survivorship Bias in Investment Product Universities - 2018-07-25 - 12 - 3 16 .
"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."
Finance
Decision-making
Technique
Investment
Picking through the Alpha Graveyard: Correcting for Survivorship Bias in Investment Product Universities - 2018-07-25 - 12 - 3 16 .
"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."
Finance
Decision-making
Technique
Investment