Revision of Index performance calculations

Original Articles

Revision of Index performance calculations

Published in: Investment Analysts Journal
Volume 23 , issue 40 , 1994 , pages: 52–55
DOI: 10.1080/10293523.1994.11082341

Abstract

Relative performance measurement and incentive fees increase the need for accurate performance benchmarks. This paper identifies a significant bias and error in the current performance calculations for the Actuaries All Bond Index. A single correction to the traditional formula takes into account the actual income payment frequency of assets is proposed to eliminate this bias.

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