Bodie, Chapter 24: Portfolio Performance Evaluation Study Notes review the following learning objectives:
Differentiate between time-weighted and dollar-weighted returns of a portfolio and describe their appropriate uses.
Describe risk-adjusted performance measures, such as Sharpe’s measure, Treynor’s measure, Jensen’s measure (Jensen’s alpha), and information ratio, and identify the circumstances under which the use of each measure is most relevant.
Describe the uses for the Modigliani-squared and Treynor’s measure in comparing two portfolios, and the graphical representation of these measures.
Determine the statistical significance of a performance measure using standard error and the t-statistic.
Describe style analysis.
Explain the difficulties in measuring the performance of actively managed portfolios.
Describe performance manipulation and the problems associated with using conventional performance measures.
Describe techniques to measure the market timing ability of fund managers with a regression and with a call option model and calculate a manager’s return due to market timing.
Describe and apply performance attribution procedures, including the asset allocation decision, sector and security selection decision, and the aggregate contribution.
After reviewing the notes, you will be able to apply what you learned with practice questions.
No Sample Available
Shop Courses