On the Stability of Performance Measures Over Time: An Empirical Study
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Performance persistence is a relevant issue when evaluating the predictability of future results of managed portfolios. A related aspect is the stability over time of the measure used to assess the performance. In this work, a possible criterion to measure stability is considered and a specific index that allows us to test the hypothesis of no stability, is proposed.
Authors: Giovanna Menardi, Ph.D., University of Padova, Italy and Francesco Lisi, University of Padova, Italy
Performance persistence is a relevant issue when evaluating the predictability of future results of managed portfolios. A related aspect is the stability over time of the measure used to assess the performance. In this work, a possible criterion to measure stability is considered and a specific index that allows us to test the hypothesis of no stability, is proposed.
On the Stability of Performance Measures Over Time: An Empirical Study.
