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Article

An Adaptive Approach to the Ranking of Investment Funds

Andrei Reztsov
The Journal of Wealth Management Winter 2013, 16 (3) 82-86; DOI: https://doi.org/10.3905/jwm.2013.16.3.082
Andrei Reztsov
is a senior research officer at the Australian Centre for Commercial Mathematics (ACCM), The University of New South Wales in Sydney, Australia.
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  • For correspondence: a.reztsov@unsw.edu.au
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Abstract

This article presents an adaptive approach for the ranking of investment funds by fund-of-funds managers. This quantitative tool will help managers rank funds and allocate capital between them for the next few months (for example, for the next quarter) when the available information/data is limited to daily returns for a relatively short time period (for example, the ending quarter). This new family of adaptive algorithms comes in line with those computational methods that fill the gap between more sophisticated approaches (that need more information/data available and more powerful cluster of the analytic computing procedures) and the nonnumerical Laplacian approach (whereby capital is allocated more or less equally between all funds that did not fail in a previous quarter).

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The Journal of Wealth Management: 16 (3)
The Journal of Wealth Management
Vol. 16, Issue 3
Winter 2013
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An Adaptive Approach to the Ranking of Investment Funds
Andrei Reztsov
The Journal of Wealth Management Oct 2013, 16 (3) 82-86; DOI: 10.3905/jwm.2013.16.3.082

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An Adaptive Approach to the Ranking of Investment Funds
Andrei Reztsov
The Journal of Wealth Management Oct 2013, 16 (3) 82-86; DOI: 10.3905/jwm.2013.16.3.082
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  • Article
    • Abstract
    • FUND RANKING BASED ON LIMITED INFORMATION
    • ADAPTIVE METHOD OF FUND RANKING
    • CONCLUSIONS AND SUGGESTIONS FOR FURTHER RESEARCH
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