股票与投资分析Chap018.docx

Chapter18-PortfolioPerformanceEvaluation

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Chapter18

PortfolioPerformanceEvaluation

Possibly.AlphaalonedoesnotdeterminewhichportfoliohasalargerSharperatio.Sharpemeasureistheprimaryfactor,sinceittellsustherealreturnperunitofrisk.WeonlyinvestiftheSharpemeasureishigher.Thestandarddeviationofaninvestmentanditscorrelationwiththebenchmarkarealsoimportant.Thus,positivealphaisnotasufficientconditionforamanagedportfoliotoofferahigherSharpemeasurethanthepassivebenchmark.

Yes.Itispossibleforapositivealphatoexist,buttheSharpemeasuredeclines.Thus,wewouldexperienceinferiorperformance.

Maybe.Providedtheadditionoffundscreatesanefficientfrontierwiththeexistinginvestments,andassumingtheSharpemeasureincreases,theanswerisyes.Otherwise,no.

No.TheM-squaredisanequivalentrepresentationoftheSharpemeasure,withtheaddeddifferenceofprovidingarisk-adjustedmeasureofperformancethatcanbeeasilyinterpretedasadifferentialreturnrelativetoabenchmark.Thus,itprovidesinadifferentformatthesameinformationastheSharpemeasure.

DefinitelytheFFmodel.Researchshowsthatpassiveinvestments(e.g.,amarketindexportfolio)willappeartohaveazeroalphawhenevaluatedusingthemulti-indexmodelbutnotwhenusingthesingle-indexone.Thenonzeroalphaappearsevenintheabsenceofsuperiorperformance.Thus,thesingle-indexalphacanbemisleading.

E(r)

?

?

PortfolioA

11%

10%

.8

PortfolioB

14%

31%

1.5

Marketindex

12%

20%

1.0

Risk-freeasset

6%

0%

0.0

Thealphasforthetwoportfoliosare:

αA=E(rA)–requiredreturnpredictedbyCA