Refinements to the Basic Return Based Performance Models

AIM 73.4: List and describe the effects various refinements to the basic return-based performance assessment models achieve.

A list of the effects various refinements to the basic return-based performance assessment models achieve is as follows:

1. Hetroskedasticity: Correcting for non-constant error variances to draw valid t-tests

2. Serial correlation: Correcting for serially or auto correlated error terms to draw valid i-test inferences.

3. Bayesian correction: Using prior knowledge for making ex-post adjustments in regression coefficients.

4. Benchmark timing: Assessing market timing skills of portfolio managers by incorporating up and down market betas.

0 0

Post a comment