Futures Swaps and Risk Management参考.ppt

CHAPTER 23 Futures, Swaps, and Risk Management CHAPTER 24 Portfolio Performance Evaluation Figure 24.4 Portfolio Returns Market Timing In its pure form, market timing involves shifting funds between a market-index portfolio and a safe asset. Treynor and Mazuy: Henriksson and Merton: Figure 24.5 : No Market Timing; Beta Increases with Expected Market Excess. Return; Market Timing with Only Two Values of Beta. Figure 24.6 Rate of Return of a Perfect Market Timer Style Analysis Introduced by William Sharpe Regress fund returns on indexes representing a range of asset classes. The regression coefficient on each index measures the fund’s implicit allocation to that “style.” R –square measures return variability due to style or asset allocation. The remainder is due either to security selection or to market timing. Table 24.5 Style Analysis for Fidelity’s Magellan Fund Figure 24.7 Fidelity Magellan Fund Cumulative Return Difference Figure 24.8 Average Tracking Error for 636 Mutual Funds, 1985-1989 Evaluating Performance Evaluation Performance evaluation has two key problems: Many observations are needed for significant results. Shifting parameters when portfolios are actively managed makes accurate performance evaluation all the more elusive. A common attribution system decomposes performance into three components: Allocation choices across broad asset classes. Industry or sector choice within each market. Security choice within each sector. Performance Attribution Set up a ‘Benchmark’ or ‘Bogey’ portfolio: Select a benchmark index portfolio for each asset class. Choose weights based on market expectations. Choose a portfolio of securities within each class by security analysis. Attributing Performance to Components Calculate the return on the ‘Bogey’ and on the managed portfolio. Explain the difference in return based on component weights or selection. Summarize the performance differences into appropriate categories. Attributing Performance to Components W