Performance Measurement & Evaluation

87 Posts

Active Share Is a Fuzzy Number

Active share’s popularity has largely been driven by two factors. First, it appears simple and intuitive; active share is the proportion of a portfolio’s holdings that is different from the benchmark for that portfolio. Second, the investment industry has become fascinated by the debate over the link between the level of active share and outperformance of the benchmark. Read more

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Book Review: Mastering ’Metrics

Mastering Metrics

The authors provide an easy-to-read overview of key concepts in econometrics for anyone desiring a strong intuitive description of how to conduct analysis using simple techniques. Covering a limited number of topics with practical examples of each, they offer a useful framework for conducting fundamental econometric analysis. Although the book does not directly discuss financial issues, it provides a good foundational review for the financial empiricist who wishes to better structure econometric tests. Read more

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