EvaluationofPortfolioPerformance(投资分析与投

LecturePresentationSoftwaretoaccompanyInvestmentAnalysisandPortfolioManagementSeventhEditionbyFrankK.Reilly&KeithC.BrownChapter26Chapter26-EvaluationofPortfolioPerformanceQuestionstobeanswered:•Whatmajorrequirementsdoclientsexpectfromtheirportfoliomanagers?•Whatcanaportfoliomanagerdotoattainsuperiorperformance?•Whatisthepeergroupcomparisonmethodofevaluatinganinvestor’sperformance?Chapter26-EvaluationofPortfolioPerformance•WhatistheTreynorportfolioperformancemeasure?•WhatistheSharpeportfolioperformancemeasure?•WhatisthecriticaldifferencebetweentheTreynorandSharpeportfolioperformancemeasures?Chapter26-EvaluationofPortfolioPerformance•WhatistheJensenportfolioperformancemeasure,andhowdoesitrelatetotheTreynormeasure?•Whatistheinformationratioandhowisitrelatedtotheotherperformancemeasures?•Whenevaluatingasampleofportfolios,howdoyoudeterminehowwelldiversifiedtheyare?Chapter26-EvaluationofPortfolioPerformance•Whatisthebiasfoundregardingthecompositeperformancemeasures?•WhatistheFamaportfolioperformancemeasureandwhatinformationdoesitprovidebeyondothermeasures?•Whatisattributionanalysisandhowcanitbeusedtodistinguishbetweenaportfoliomanager’smarkettimingandsecurityselectionskills?Chapter26-EvaluationofPortfolioPerformance•WhatistheRoll“benchmarkerror”problem,andwhatarethetwofactorsthatareaffectedwhencomputingportfolioperformancemeasures?•Whatistheimpactofglobalinvestingonthebenchmarkerrorproblem?•Whatarecustomizedbenchmarks?•Whataretheimportantcharacteristicsthatanybenchmarkshouldpossess?Chapter26-EvaluationofPortfolioPerformance•Howdobondportfolioperformancemeasuresdifferfromequityportfolioperformancemeasures?•IntheWagnerandTitobondportfolioperformancemeasure,whatisthemeasureofriskused?•WhatarethecomponentsoftheDietz,Fogler,andHardybondportfolioperformancemeasure?Chapter26-EvaluationofPortfolioPerformance•WhatarethesourcesofreturnintheFong,Pearson,andVasicekbondportfolioperformancemeasure?•Whatarethetime-weightedanddollar-weightedreturnsandwhichshouldbereportedunderAIMR’sPerformancePresentationStandards?WhatisRequiredofaPortfolioManager?1.Theabilitytoderiveabove-averagereturnsforagivenriskclassSuperiorrisk-adjustedreturnscanbederivedfromeither–superiortimingor–superiorsecurityselection2.Theabilitytodiversifytheportfoliocompletelytoeliminateunsystematicrisk.relativetotheportfolio’sbenchmarkCompositePortfolioPerformanceMeasures•Portfolioevaluationbefore1960–rateofreturnwithinriskclasses•Peergroupcomparisons–noexplicitadjustmentforrisk–difficulttoformcomparablepeergroup•Treynorportfolioperformancemeasure–marketrisk–individualsecurityrisk–introducedcharacteristiclineTreynorPortfolioPerformanceMeasure•Treynorrecognizedtwocomponentsofrisk–Riskfromgeneralmarketfluctuations–Riskfromuniquefluctuationsinthesecuritiesintheportfolio•Hismeasureofrisk-adjustedperformancefocusesontheportfolio’sundiversifiablerisk:marketorsystematicriskTreynorPortfolioPerformanceMeasure•Thenumeratoristheriskpremium•Thedenominatorisameasureofrisk•Theexpressionistheriskpremiumreturnperunitofrisk•Riskaverseinvestorsprefertomaximizethisvalue•ThisassumesacompletelydiversifiedportfolioleavingsystematicriskastherelevantriskiiRFRRTTreynorPortfolioPerformanceMeasure•Comparingaportfolio’sTvaluetoasimilarmeasureforthemarketportfolioindicateswhethertheportfoliowouldplotabovetheSML•CalculatetheTvaluefortheaggregatemarketasfollows:mmmRFRRTTreynorPortfolioPerformanceMeasure•ComparisontoseewhetheractualreturnofportfolioGwasaboveorbelowexpectationscanbemadeusing:RFRRRFRREmiGSharpePortfolioPerformanceMeasureiiiRFRRS•RiskpremiumearnedperunitofriskTreynorversusSharpeMeasure•Sharpeusesstandarddeviationofreturnsasthemeasureofrisk•Treynormeasureusesbeta(systematicrisk)•Sharpethereforeevaluatestheportfoliomanageronthebasisofbothrateofreturnperformanceanddiversification•Themethodsagreeonrankingsofcompletelydiversifiedportfolios•ProducerelativenotabsoluterankingsofperformanceJensenPortfolioPerformanceMeasure•AlsobasedonCAPM•ExpectedreturnonanysecurityorportfolioisRFRRERFRREmjjJensenPortfolioPerformanceMeasure•AlsobasedonCAPM•ExpectedreturnonanysecurityorportfolioisWhere:E(Rj)=theexpectedreturnonsecurityRFR=theone-periodrisk-freeinterestratej=thesystematicriskforsecurityorportfoliojE(Rm)=theexpectedreturnonthemarketportfolioofriskyassetsRFRRERFRREmjjTheInformationRatioPerformanceMeasure•Appraisalratio•measuresaveragereturninexcessofbenchmarkportfoliodividedbythestandarddeviationofthisexcessreturnERjERbjjERRRIRUjApplicationofPortfolioPerformanceMeasuresititititititBPBPDistCapDivEPR..PotentialBiasofOne-ParameterMeasures•positiverelationshipbetweenthecompositeperformancemeasuresandtheriskinvolved•alphacanbebiaseddownwardforthoseportfoliosdesignedtolimitdownsideriskComponentsofInvestmentPerformance•Famasuggestedoverallperformance,whichisitsreturninexcessoftherisk-freeratePortfolioRisk+Selectivity•Further,ifthereisadifferencebetweentherisklevelspecifiedbytheinvestorandtheactualriskleveladoptedbytheportfoliomanager,thiscanbefurth