Journal of
Marketing Development and Competitiveness
Scholar Gateway
Abstracts prior to volume 5(1) have been archived!Issue 5(1), October 2010 -- Paper AbstractsGirard (p. 9-22)Cooper (p. 23-32)Kunz-Osborne (p. 33-41)Coulmas-Law (p.42-46)Stasio (p. 47-56)Albert-Valette-Florence (p.57-63)Zhang-Rauch (p. 64-70)Alam-Yasin (p. 71-78)Mattare-Monahan-Shah (p. 79-94)Nonis-Hudson-Hunt (p. 95-106) 
JOURNAL OF APPLIED BUSINESS AND ECONOMICS
Assessing Predictive Performance of an Investment Portfolio
Author(s): Malek Lashgari
Citation: Malek Lashgari, (2012) "Assessing Predictive Performance of an Investment Portfolio," Journal of Applied Business and Economics, Vol. 13, Iss. 5, pp. 46-52
Article Type: Research paper
Publisher: North American Business Press
Abstract:
Performance of an investment portfolio is often viewed in comparison to a benchmark return, within a
similar risk class. When a risk adjusted measure is desired, given a normally distributed return, the usual
notion of risk is the standard deviation, or beta as the degree of association of the portfolio with respect
to the market. Investment plans, however, are goal oriented, depend on the prevailing circumstances and
are designed based on a set of expectations. Thus, performance should be assessed accordingly. Within
this framework an average information index value, denoting the degree of divergence between
investment objectives and the later observed outcomes, appears to be a good criterion for appraising
performance of an investment portfolio. The resulting information index value is in line with non-
replicable, path dependent nature of investment portfolio designs.
