On Adaptive Approach to the Ranking of Investment Funds

10 Pages Posted: 25 Feb 2013 Last revised: 22 Aug 2013

See all articles by Andrei Reztsov

Andrei Reztsov

University of New South Wales (UNSW)

Date Written: February 24, 2013

Abstract

An adaptive approach for the ranking of investment funds by the fund of funds manager is presented. This is a quantitative tool to help the manager make a decision regarding ranking of funds and allocating capital between them for the next few months (for example, for the next quarter) where the available information/data is limited to daily returns for a relatively short time period (for example, the ending quarter). This new adaptive algorithm comes in line with those computational methods that fill the gap between more sophisticated approaches (that need more information/data available and more powerful cluster of the analytic computing procedures) and non-numerical Laplacian approach (where capital is allocated more or less equally between all funds that did not fail in a previous quarter).

Keywords: ranking, investment funds, fund of funds manager

Suggested Citation

Reztsov, Andrei, On Adaptive Approach to the Ranking of Investment Funds (February 24, 2013). Available at SSRN: https://ssrn.com/abstract=2223722 or http://dx.doi.org/10.2139/ssrn.2223722

Andrei Reztsov (Contact Author)

University of New South Wales (UNSW) ( email )

Sydney, NSW 2052
Australia
(+61 2) 95173960 (Phone)

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
107
Abstract Views
627
Rank
462,226
PlumX Metrics