Composite return measurement

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  • Performance measurement is an important concept for anyone managing or investing institutional assets. Complying with the Global Investment Performance Standards (GIPS®) provides individuals and firms with two things: (1) guidance for the investment firm in achieving compliance with the Global Investment Performance Standards—the GIPS standards—and (2) detailed explanations of the rationale and methodology behind the numbers.

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  • Risk and return measures for models of funds are typically statistics such as mean and standard deviation. A straightforward way to get a commensurable set of measures is to choose only statistics measured in the same units as the data. Often the literature uses statistics such as variance, semivariance, skewness and kurtosis not in the same units (Wilkens and Zhu, 2001; Gregoriou et al., 2005b; Nguyen-Thi-Thanh, 2006). There are several plausible explanations.

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  • Contracts tend to use a single earnings number that is either the reported earnings or a transformation of reported earnings. For example, private debt contracts use reported earnings with some GAAP measurement rules "undone" (e.g., equity accounting for subsidiaries -see Leftwich, 1983, p. 25). And, CEO bonus plans use earnings (or transformations of earnings such as returns on invested capital) to determine 80% of CEO bonuses (Hay, 1991; Holthausen, Larcker and Sloan, 1995).

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  • Over the last twenty years, the field of behavioral finance has grown from a startup operation into a mature enterprise, with well-developed bodies of both theory and empirical evidence. On the empirical side, the benchmark null hypothesis is that one should not be able to forecast a stock’s return with anything other than measures of its riskiness, such as its beta; this hypothesis embodies the familiar idea that any other form of predictability would represent a profitable trading rule and hence a free lunch to investors.

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