章投资组合绩效评估大四上.pptx

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章投资组合绩效评估大四上.pptx

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CHAPTER24PortfolioPerformanceEvaluation

24-2Twocommonwaystomeasureaverageportfolioreturn:Time-weightedreturnsDollar-weightedreturnsReturnsmustbeadjustedforrisk.Introduction

24-3Time-weightedreturnsThegeometricaverageisatime-weightedaverage.Eachperiod’sreturnhasequalweight.Dollar-andTime-WeightedReturns

24-4Dollar-weightedreturnsInternalrateofreturnconsideringthecashflowfromortoinvestmentReturnsareweightedbytheamountinvestedineachperiod:Dollar-andTime-WeightedReturns

24-5ExampleofMultiperiodReturns

24-6Dollar-weightedReturn(IRR):Dollar-WeightedReturn-$50-$53$2$4+$108

24-7Time-WeightedReturnThedollar-weightedaverageislessthanthetime-weightedaverageinthisexamplebecausemoremoneyisinvestedinyeartwo,whenthereturnwaslower.rG=[(1.1)(1.0566)]1/2–1=7.81%

24-8Thesimplestandmostpopularwaytoadjustreturnsforriskistocomparetheportfolio’sreturnwiththereturnsonacomparisonuniverse.Thecomparisonuniverseisabenchmarkcomposedofagroupoffundsorportfolioswithsimilarriskcharacteristics,suchasgrowthstockfundsorhigh-yieldbondfunds.AdjustingReturnsforRisk

24-9Figure24.1UniverseComparison

24-101)SharpeIndexRiskAdjustedPerformance:Sharperp =Averagereturnontheportfoliorf =Averageriskfreeratep=Standarddeviationofportfolio return?

24-112)TreynorMeasureRiskAdjustedPerformance:Treynorrp=Averagereturnontheportfoliorf=Averageriskfreerate?p=Weightedaveragebetaforportfolio

24-12RiskAdjustedPerformance:Jensen3)Jensen’sMeasurep=Alphafortheportfoliorp=Averagereturnontheportfolio?p=WeightedaverageBetarf=Averageriskfreeraterm=Averagereturnonmarketindexportfolio?

24-13InformationRatioInformationRatio=ap/s(ep)whereRi=γi+βRm+eiTheinformationratiodividesthealphaoftheportfoliobythenonsystematicrisk.Nonsystematicriskcould,intheory,beeliminatedbydiversific