[R-SIG-Finance] making sense of 100's of funds

BBands bbands at gmail.com
Sun Aug 19 16:20:37 CEST 2007

On 8/19/07, Patrick Burns <patrick at burns-stat.com> wrote:
> That paper talks about the effects of asynchrony and proposes a
> method of backing out data without asynchrony.  Our investigation
> suggested that using weekly data is adequate for avoiding asynchrony
> effects.

We have done a lot of work on this problem and agree with the choice
of weekly data.


The use of benchmarks may not be the optimal path in this application,
relatively simple ranking might be more viable. As a compromise, you
might try looking at ranked Sharpe ratios...

John Bollinger, CFA, CMT

If you advance far enough, you arrive at the beginning.

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