EvaluationofPortfolioPerformance(投资分析和投讲义
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Chapter 26 - Evaluation of Portfolio Performance
• What are the sources of return in the Fong, Pearson, and Vasicek bond portfolio performance measure?
• What are the time-weighted and dollarweighted returns and which should be reported under AIMR’s Performance Presentation Standards?
What is Required of
• What is the Fama portfolio performance measure and what information does it provide beyond other measures?
• What is attribution analysis and how can it be used to distinguish between a portfolio manager’s market timing and security selection skills?
any benchmark should possess?
Chapter 26 - Evaluation of Portfolio Performance
• How do bond portfolio performance measures differ from equity portfolio performance measures?
• What is the impact of global investing on the benchmark error problem?
• What are customized benchmarks? • What are the important characteristics that
Chapter 26 - Evaluation of Portfolio Performance
• What is the Jensen portfolio performance measure, and how does it relate to the Treynor measure?
• What is the information ratio and how is it related to the other performance measures?
2. The ability to diversify the portfolio completely to eliminate unsystematic risk. relative to the portfolio’s benchmark
• In the Wagner and Tito bond portfolio performance measure, what is the measure of risk used?
• What are the components of the Dietz, Fogler, and Hardy bond portfolio performance measure?
Chapter 26 - Evaluation of Portfolio Performance
• What is the Roll “benchmark error” problem, and what are the two factors that are affected when computing portfolio performance measures?
Chapter 26 - Evaluation of Portfolio Performance
Questions to be answered: • What major requirements do clients expect
from their portfolio managers? • What can a portfolio manager do to attain
a Portfolio Manager?
1.The ability to derive above-average returns for a given risk class Superior risk-adjusted returns can be derived from either – superior timing or – superior security selection
• When evaluating a sample of portfolios, how do you determine how well diversified they are?
Chapter 26 - Evaluation of Portfolio Performance
• What is the bias found regarding the composite performance measures?
• What is the Treynor portfolio performance measure?
• What is the Sharpe portfolio performance measure?
• What is the critical difference between the Treynor and Sharpe portfolio performance measures?
superior performance? • What is the peer group comparison method of
Fra Baidu bibliotekevaluating an investor’s performance?
Chapter 26 - Evaluation of Portfolio Performance