Evaluation of Investment Strategies

Igor Vilcek


The paper is focused on an ex-post investment performance analysis. Firstly, we create a suite of return, risk, return to risk and benchmark related measures with immediate real life applications in mind. We define and describe these measures and provide real data examples where appropriate. Secondly, we take a look at common mistakes performed by practitioners. For each measure, we assess potential misuses and potential misinterpretations of conclusions resulting from them. We also include the visual analysis. Moreover, we analyze advantages and disadvantages of specific measures and show how to use them appropriately. We furthermore stress that it is necessary to evaluate measures in conjunction with each other. We complement the analysis by brief discussion of non-quantifiable, more qualitative, criteria. Lastly, in the practical section, we apply all performance measures and discussed principles in evaluation of the ten years of historical data of the Slovak equity pension funds in the funded pillar.

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Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.