An intrinsic approach to performance measurement of portfolio 对投资组合绩效的内在途径_精品.pdf

An intrinsic approach to performance measurement of portfolio manager skill by Martin Hickling Disclaimer The views expressed in this presentation are those of the author and not necessarily those of the company with which he is associated. This presentation should not be considered as financial advice. Introduction • Given active funds management is based on the premise that securities can be mis-priced (sometimes for long periods) it is therefore somewhat incongruous that the standard measure for assessing the performance of the active funds management industry is based on the change in market value of the portfolio from start of period to end of period. Introduction • Warren Buffett’s 1997 letter to shareholders “If you expect to be a net saver during the next five years, should you hope for a higher or lower stock market during that period? Many investors get this one wrong. Even though they are going to be net buyers of stocks for many years to come, they are elated when stock prices rise and depressed when they fall. This reaction makes no sense. Only those who will be sellers of equities in the near future should be happy at seeing stocks rise. Prospective purchasers should much prefer sinking prices”. Introduction • If a share price has fallen the key thing to determine is if the fundamentals of the business have deteriorated or if the company has become cheaper. Assuming the market is not fully efficient, the share price move on its own will not tell you which of these is true. • Benjamin Graham observed that “In the short run, the market is a voting machine, but in the long run it is a weighing machine”. Market efficiency • Fama’s efficient market is described as “compe