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Performance measurement and attribution of international equity portfolios : a practical model for Canadian investors

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Performance measurement and attribution of international equity portfolios : a practical model for Canadian investors

Lambert, Marie-Josée (1998) Performance measurement and attribution of international equity portfolios : a practical model for Canadian investors. Masters thesis, Concordia University.

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Abstract

The wide availability of international equity funds creates a need for evaluating international equity performance in an intelligent and appropriate way which distinguishes between funds with different missions and investment policies and practices. However, as research into international equity portfolio performance attribution is still in its infancy, there does not seem to be a general consensus on the overall framework or approach which should be taken to evaluate the performance of international equity portfolios. With a solid theoretical foundation drawn from existing research, this thesis sets out to develop a workable, intuitive and useful performance attribution and risk measurement framework for international equity portfolios. The framework presented is then used to evaluate the performance of a Canadian-based international equity portfolio yielding results which would be of particular interest to its sponsors. This thesis then gives suggestions for future research and concludes by stating that attribution and risk measurement practices for international equity portfolios are sure to become even more refined as interest in globally diversified portfolios continues to increase.

Divisions:Concordia University > John Molson School of Business
Item Type:Thesis (Masters)
Authors:Lambert, Marie-Josée
Pagination:v, 56 leaves ; 29 cm.
Institution:Concordia University
Degree Name:M. Sc.
Program:Administration
Department (as was):Faculty of Commerce and Administration
Date:1998
Thesis Supervisor(s):Brodt, Abraham
Identification Number:HG 4529.5 L36 1998
ID Code:674
Deposited By: Concordia University Library
Deposited On:27 Aug 2009 17:13
Last Modified:20 Oct 2022 16:27
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