Investment horizons : A time-dependent measure of asset performance

Abstract

We review a resent {\em time-dependent} performance measure for economical time series -- the (optimal) investment horizon approach. For stock indices, the approach shows a pronounced gain-loss asymmetry that is {\em not} observed for the individual stocks that comprise the index. This difference may hint towards an synchronize of the draw downs of the stocks.

6 pages Latex, 3 figures; To appear in "Practical Fruits of Econophysics" ed H. Takayasu (Springer Verlag, 2005)