Study Notes: Bodie, Chapter 24: Portfolio Performance Evaluation

Bodie, Chapter 24: Portfolio Performance Evaluation Study Notes contains 22 pages covering the following learning objectives:

Differentiate between the time-weighted and dollar-weighted returns of a portfolio and their appropriate uses.
Describe and distinguish between risk-adjusted performance measures, such as Sharpe’s measure, Treynor’s measure, Jensen’s measure (Jensen’s alpha), and information ratio.
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.
Explain the difficulties in measuring the performances of hedge funds.
Explain how portfolios with dynamic risk levels can affect the use of the Sharpe ratio to measure performance.
Describe techniques to measure the market timing ability of fund managers with a regression and with a call option model and compute return due to market timing.
Describe style analysis.
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.

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