Portfolio Performance Evaluation
Über den Vortrag
Der Vortrag „Portfolio Performance Evaluation“ von Edu Pristine ist Bestandteil des Kurses „Archiv - Risk Management & Investment Management“. Der Vortrag ist dabei in folgende Kapitel unterteilt:
- Dollar Weighted Rate of Return
- Example
- Solution
- Example 2
- Solution 2
- Time Weighted Rate of Return
- Risk Adjusted Performance Measures
- M-Squared Measure
- Portfolio Performance Evaluation
- Measuring Hedge Fund Performance
- Performance Evaluation with Dynamic Risk Levels
- Measuring Market Timing Ability
- Measuring Market Timing with Regression
- Measuring Market Timing with a Call Option Model
- Call Option Model
- Style Analysis
Dozent des Vortrages Portfolio Performance Evaluation
Edu Pristine
Trusted by Fortune 500 Companies and 10,000 Students from 40+ countries across the globe, EduPristine is one of the leading International Training providers for Finance Certifications like FRM®, CFA®, PRM®, Business Analytics, HR Analytics, Financial Modeling, Operational Risk Modeling etc. It was founded by industry professionals who have worked in the area of investment banking and private equity in organizations such as Goldman Sachs, Crisil - A Standard & Poors Company, Standard Chartered and Accenture.EduPristine has conducted corporate training for various leading corporations and colleges like JP Morgan, Bank of America, Ernst & Young, Accenture, HSBC, IIM C, NUS Singapore etc. EduPristine has conducted more than 500,000 man-hours of quality training in finance.
http://www.edupristine.com
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Auszüge aus dem Begleitmaterial
... The dollar-weighted rate of return is essentially ...
... 2012 he sold both shares for $140 each. The stock paid a dividend of $10 per share at ...
... need to determine the timing and amount of cash flows for each year, and then set the present value of net ...
... Time weighted means that returns are averaged over time. This approach is not affected by the timing ...
... for $100 on March 31, 2010. On March 31, 2011 he bought another share for $150. On March ...
... Ending price: $280 (140 x 2). Calculate the holding period return (HPR) on the portfolio for each subperiod: HPR = (Dividends + Ending Price)/Beginning Price ...
... the time-weighted rate of return: Take the geometric mean of the annual returns to find ...
... Sharpe ratio except it uses beta as a measure of risk. Where: RA = avg. account return, RF = avg. risk-free rate, BP = average beta ...
... This is a direct measure of performance Where: P = ex post alpha, RPt = actual return on portfolio in period, [RF + P(RM-RF)] = CAPM (predicted return) Information Ratio. This is a measure of excess ...
... Another portfolio P’ lies on capital allocation line at a point where standard deviation of P’ is same as that of market ...
... Negative alpha indicates inferior performance. Zero alpha indicates normal performance Null (H 0): True alpha ...
... Holdings are often illiquid. Sensitivity with traditional markets increases in times of ...
... ratio is useful when evaluating portfolio performance of a passive investment strategy. Application of Sharpe ratio is ...
... manager can be measured with two techniques: ...
... If the forecast is accurate, the portfolio will outperform the benchmark portfolio. Regression equation used for this test is as follows: - RP - RF = ?+? (RM - RF ) + Mp (RM - ...
... to the S&P 500 equity market index. Investor’s portfolio will be: 100% invested in S&P 500 if ...
... in treasury bills. Also owns a call option on the S&P 500 with exercise price equal to S0 (1+RF ) Payoff ...
... to active asset allocation decision of portfolio manager. Selection attribution equals the difference in returns attributable to superior individual security selection (correct selection of mispriced securities) and sector allocation ...
