Jamil Baz
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Discerning risk-adjusted returns and investment skill
Discerning risk-adjusted returns and investment skill
We show that the return to a defensive equity portfolio can be decomposed into a hedging component and a component that seeks to generate returns.
Contrary to most investors’ intuition, this commonly cited measure actually may not explain much about the relative performance of stock and bonds.
This paper was recently featured in The Journal of Portfolio Management.