portfolio performance evaluation投资组合性能评.docxVIP

Portfolio Performance EvaluationChapter 18Abnormal PerformanceBig Question: What is “abnormal”?Abnormal performance is measured:Benchmark portfolioMarket adjustedMarket model / index model adjustedGenerally, we can gauge abnormal performance with broad measures that measure reward to risk in some way (e.g. the Sharpe Measure, Treynor Measure, and the Information Ratio). Which measure is most appropriate depends on the “scenario” that applies. Also, these measures presume that the distribution of returns are constant. There are also several performance measures that break down abnormal perfo