Concepedia

Risk-adjusted Performance Evaluation

Risk-Adjusted Performance Evaluation is a quantitative analytic framework that assesses the return performance of trading strategies relative to their exposure to financial risk, thereby differentiating it from pure return-based metrics by incorporating risk normalization mechanisms such as volatility, downside deviation, or value-at-risk.

283

Publications

17.2K

Citations

558

Authors

350

Institutions

Publications per year

2017–2026

79

Parents

Publications

283

The Performance of Mutual Funds in the Period 1945-1964

Michael C. Jensen · The Journal of Finance · 1968 · 1.8K citations

, , +17

An econometric model of serial correlation and illiquidity in hedge fund returns

Mila Getmansky, Andrew W. Lo, Igor Makarov · Journal of Financial Economics · 2004 · 1.1K citations · Full text

, , +17

Portfolio Performance Evaluation: Old Issues and New Insights

Mark Grinblatt, Sheridan Titman · Review of Financial Studies · 1989 · 601 citations

, , +17

Risk-Adjusted Performance

Franco Modigliani, Leah Modigliani · The Journal of Portfolio Management · 1997 · 569 citations

, , +7

Strategic Group Formation and Performance: The Case of the U.S. Pharmaceutical Industry, 1963–1982

Karel Cool, Dan Schendel · Management Science · 1987 · 533 citations

, , +16

1–5 of 283

Authors

558

  1. GN
    Graeme Newell

    Western Sydney University, Australia

    15 publications · 381 citations

    13

    h-index

  2. RB
    Richard B. Evans

    University of Virginia, United States

    5 publications · 520 citations

    5

    h-index

  3. HW
    Hsu Wen Peng

    Western Sydney University, Australia

    5 publications · 154 citations

    5

    h-index

  4. MJ
    Muhammad Jufri Marzuki

    Western Sydney University, Australia

    4 publications · 82 citations

    4

    h-index

  5. AK
    Alok Kumar

    University of Miami, United States

    4 publications · 503 citations

    4

    h-index

1–5 of 558

Institutions

350

  1. Western Sydney University

    Richmond, Australia

    14 h-index

    26 publications

    632 citations

  2. University of Virginia

    Charlottesville, United States

    6 h-index

    6 publications

    563 citations

  3. Swiss Finance Institute

    Zurich, Switzerland

    6 h-index

    7 publications

    519 citations

  4. Georgetown University

    Washington, United States

    6 h-index

    9 publications

    975 citations

  5. European Corporate Governance Institute

    Brussels, Belgium

    5 h-index

    6 publications

    708 citations

  6. City, University of London

    London, United Kingdom

    5 h-index

    13 publications

    299 citations

  7. University of Miami

    Coral Gables, United States

    4 h-index

    6 publications

    707 citations

  8. National Taipei University

    Taipei, Taiwan

    4 h-index

    4 publications

    89 citations

1–8 of 350

Venues

  1. SSRN Electronic Journal

    Repository · 42 publications · 2.2K citations

    24

    h-index

  2. The Journal of Portfolio Management

    JPM · 11 publications · 841 citations

    10

    h-index

  3. Review of Financial Studies

    9 publications · 2K citations

    9

    h-index

  4. Journal of Real Estate Portfolio Management

    JREPM · 9 publications · 244 citations

    9

    h-index

  5. Pacific Rim Property Research Journal

    8 publications · 163 citations

    8

    h-index

1–5