Under the Basel III rules, banks have to restructure their balance sheets to meet new liquidity and risk-weighted asset ratios, and small-business loans can often fall under the riskier categories.

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One is that these returns are calculated on a time-weighted, rather than asset-weighted basis.

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The SPIVA Scorecard provides performance comparisons corrected for survivorship bias, equal- and asset-weighted peer averages and measures of style consistency for actively managed U.S. equity, international equity and fixed income mutual funds.

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So Lack performs his own asset-weighted calculations (similar to the internal rate of return methodology of measuring private equity or real estate fund performance) using BarclayHedge data to measure how the average investor as distinct from the average fund has done.

FORBES: Chasing the Mirage of Hedge Fund Returns

Table 3 below provides a summary of the annualized standard deviation and returns for each asset class, the weighted average risk and return and the total portfolio risk and return from January 1979 through December 2009.

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You recognise that a new complication has arisen, namely that of the institutional pension managers investing in commodity indices, heavily weighted to crude oil, as an asset class.

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Stephen Hammers : Yeah, we actually have several indexes on many different asset classes called the CEMP Volatility-Weighted Indexes.

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