文档介绍：CHAPTER 24
Portfolio Performance Evaluation
Complicated subject
Theoretically correct measures are difficult to construct
Different statistics or measures are appropriate for different types of investment decisions or portfolios
Many industry and academic measures are different
The nature of active management leads to measurement problems
Introduction
Dollar-weighted returns
Internal rate of return considering the cash flow from or to investment
Returns are weighted by the amount invested in each stock
Time-weighted returns
Not weighted by investment amount
Equal weighting
Dollar- and Time-Weighted Returns
Text Example of Multiperiod Returns
Period Action
0 Purchase 1 share at $50
1 Purchase 1 share at $53
Stock pays a dividend of $2 per share
2 Stock pays a dividend of $2 per share
Stock is sold at $108 per share
Period Cash Flow
0 -50 share purchase
1 +2 dividend -53 share purchase
2 +4 dividend + 108 shares sold
Internal Rate of Return:
Dollar-Weighted Return
Time-Weighted Return
Text Example Average:
rG = [ () () ]1/2 - 1
= %
Benchmark parison with other managers of similar investment style
May be misleading
Adjusting Returns for Risk
Figure parison
1) Sharpe Index
rp = Average return on the portfolio
rf = Average risk free rate
p
= Standard deviation of portfolio
return
Risk Adjusted Performance: Sharpe
2) Treynor Measure
rp = Average return on the portfolio
rf = Average risk free rate
ßp = Weighted average for portfolio
Risk Adjusted Performance: Treynor