Advanced Search
MyIDEAS: Login

The AIRR Approach for Investment Performance Measurement

Contents:

Author Info

  • Carlo Alberto Magni

    ()

Abstract

This paper introduces a new method of investment performance analysis, based on the recent approach of Average Internal Rate of Return (AIRR). We show that the approach generates rates of return suitable for assessing both a fund´s (portfolio´s) performance and a manager´s performance. The metrics proposed are arithmetic means of holding period rates weighted by market values. The Internal Rate of Return (IRR) is shown to be a particular case of AIRR, associated with an automatically implied invested capital which has not to do with market values. Relations with the Time Weighted Rate of Return (TWRR) are investigated.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://ssrn.com/abstract=2080775
Our checks indicate that this address may not be valid because: 503 Service Unavailable. If this is indeed the case, please notify (Ignacio Velez)
Download Restriction: no

Bibliographic Info

Paper provided by MASTER CONSULTORES in its series PROYECCIONES FINANCIERAS Y VALORACION with number 009652.

as in new window
Length: 31
Date of creation: 09 Jun 2012
Date of revision:
Handle: RePEc:col:000463:009652

Contact details of provider:

Related research

Keywords: performance measurement; AIRR; value added; internal rate of return; time-weighted rate of return;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:col:000463:009652. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ignacio Velez).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.