投资学第24章投资组合业绩评价[突破高绩效管理].pptVIP

Figure 24.8 Fidelity Magellan Fund Cumulative Return Difference: Fund versus Style Benchmark and Fund versus SML Benchmark Figure 24.9 Average Tracking Error for 636 Mutual Funds, 1985-1989 Morningstar Morningstar computes fund returns as well as a risk measure based primarily on fund performance in its worst years The risk-adjusted performance is ranked across funds in a style group and stars are awarded Evaluating Performance Evaluation Performance Evaluation has two problems Many observations are needed for significant results Shifting parameters when portfolios are actively managed makes accurate performance evaluation all the more elusive Figure 24.10 Rankings Based on Morningstar’s Category RARs and Excess Return Sharpe Ratios Decomposing overall performance into components Components are related to specific elements of performance Example components Broad Allocation Industry Security Choice Up and Down Markets Performance Attribution Set up a ‘Benchmark’ or ‘Bogey’ portfolio Use indexes for each component Use target weight structure 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 Continued Where B is the bogey portfolio and p is the managed portfolio Formula for Attribution Figure 24.11 Performance Attribution of ith Asset Class Table 24.6 Performance of the Managed Portfolio Table 24.7 Performance Attribution Table 24.8 Sector Selection within the Equity Market Table 24.9 Portfolio Attribution: Summary 24-* Investments, 8th edition Bodie, Kane and Marcus Slides by Susan Hine McGraw-Hill/Irwin Copyright ? 2009 by The McGraw-Hill Companies, Inc. All rights reserved. CHAPTER 24 Portfolio Performance Evaluation Complicated subject Theoretically correct measures are difficult to construct Different statistics or measures are appro