February 22, 2010

One simple way to estimate the upside and downside of an active strategy is to figure out the maximum and minimum returns that a simple long only strategy could produce. To that end, during each of the months for which we have data, we have ranked the returns of the 13 asset classes in this study and ranked them in descending order. We then have calculated a 12 month holding period returns for each of the tiers plus that of the equal weighted average of all assets.

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