On 'Introducing Excess Return on Time-Scaled Contributions': A Clarification

Posted: 12 Dec 2018

See all articles by Carlo Alberto Magni

Carlo Alberto Magni

Università degli studi di Modena e Reggio Emilia (UNIMORE) - School of Doctorate E4E (Engineering for Economics-Economics for Engineering)

Date Written: February 2018

Abstract

In Jiang's (2017, JAI, 9 (4): 77–91), the author proposes an interesting metric, which is a special case of Average Internal Rate of Return (AIRR), introduced in Magni (2010). In the paper, the author also deals with Economic AIRR (EAIRR) (Magni 2013) and ICM-based AROI (Magni 2011, Altshuler and Magni 2015). Jiang warns the reader against potential violations of value additivity of EAIRR and ICM-based AROI. This paper shows that there is no potential violation of value additivity in either case if the correct procedure for computing EAIRR and ICM-based AROI is followed.

Keywords: portfolios, performance measurement, AIRR, AROI, return, Index Comparison Method

JEL Classification: G11, G12

Suggested Citation

Magni, Carlo Alberto, On 'Introducing Excess Return on Time-Scaled Contributions': A Clarification (February 2018). Journal of Alternative Investments, Vol. 21, No. 2: 84-86, 2018, Available at SSRN: https://ssrn.com/abstract=3287899

Carlo Alberto Magni (Contact Author)

Università degli studi di Modena e Reggio Emilia (UNIMORE) - School of Doctorate E4E (Engineering for Economics-Economics for Engineering) ( email )

Italy

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