第24章投资组合绩效评估方法研究.pdfVIP

CHAPTER24:PORTFOLIOPERFORMANCEEVALUATION

1.

TimeCashflowHoldingperiodreturn

03(–$90)=–$270

1$100(100–90)/90=11.11%

2$1000%

3$1000%

a.Time-weightedgeometricaveragerateofreturn=

(1.1111×1.0×1.0)1/3–1=0.0357=3.57%

b.Time-weightedarithmeticaveragerateofreturn=(11.11%+0+0)/3=3.70%

Thearithmeticaverageisalwaysgreaterthanorequaltothegeometricaverage;

thegreaterthedispersion,thegreaterthedifference.

c.Dollar-weightedaveragerateofreturn=IRR=5.46%

[Usingafinancialcalculator,enter:n=3,PV=–270,FV=0,PMT=100.Then

computetheinterestrate.]TheIRRexceedstheotheraveragesbecausethe

investmentfundwasthelargestwhenthehighestreturnoccurred.

2.

a.StockAStockB

(i)Alpha=regressionintercept1.0%2.0%

(ii)Informationratio=α/σ(e)

PP

0.09710.1047

(iii)*Sharpemeasure=(rP–r)/σP0.49070.3373

f

(iv)**Treynormeasure=(r–r)/β

PfP8.83310.50