INVESTMENTS 投资学 （博迪BODIE, KANE, MARCUS）Chap024 Portfolio Performance Evaluation.ppt

CHAPTER 24 Portfolio Performance Evaluation Figure 24.8 Average Tracking Error for 636 Mutual Funds, 1985-1989 Evaluating Performance Evaluation Performance evaluation has two key problems: Many observations are needed for significant results. Shifting parameters when portfolios are actively managed makes accurate performance evaluation all the more elusive. A common attribution system decomposes performance into three components: Allocation choices across broad asset classes. Industry or sector choice within each market. Security choice within each sector. Performance Attribution Set up a ‘Benchmark’ or ‘Bogey’ portfolio: Select a benchmark index portfolio for each asset class. Choose weights based on market expectations. Choose a portfolio of securities within each class by security analysis. Attributing Performance to Components Calculate the return on the ‘Bogey’ and on the managed portfolio. Explain the difference in return based on component weights or selection. Summarize the performance differences into appropriate categories. Attributing Performance to Components Where B is the bogey portfolio and p is the managed portfolio Formulas for Attribution Figure 24.10 Performance Attribution of ith Asset Class Performance Attribution Superior performance is achieved by: overweighting assets in markets that perform well underweighting assets in poorly performing markets Table 24.7 Performance Attribution Sector and Security Selection Good performance (a positive contribution) derives from overweighting high-performing sectors Good performance also derives from underweighting poorly performing sectors. INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS Copyright ? 2011 by The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin Two common ways to measure average portfolio return: Time-weighted returns Dollar-weighted returns Returns must be adjusted for risk. Introduction Time-weighted returns The geometric average is a t