【精品】investments 投资学 （博迪bodie, kane, marcuschap024 portfolio performance evaluation精品ppt课件.ppt

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1、INVESTMENTS 投资学（博迪BODIE,KANE,MARCUS）Chap024 Portfolio Performance EvaluationINVESTMENTS|BODIE,KANE,MARCUSTwo common ways to measure average portfolio return:1.Time-weighted returns2.Dollar-weighted returnsReturns must be adjusted for risk.Introduction2INVESTMENTS|BODIE,KANE,MARCUSTime-weighted retur

2、nsThe geometric average is a time-weighted average.Each periods return has equal weight.Dollar-and Time-Weighted Returns3INVESTMENTS|BODIE,KANE,MARCUSDollar-weighted returnsInternal rate of return considering the cash flow from or to investmentReturns are weighted by the amount invested in each peri

3、od:Dollar-and Time-Weighted Returns4INVESTMENTS|BODIE,KANE,MARCUSExample of Multiperiod Returns5INVESTMENTS|BODIE,KANE,MARCUSINVESTMENTS|BODIE,KANE,MARCUSINVESTMENTS|BODIE,KANE,MARCUSThe simplest and most popular way to adjust returns for risk is to compare the portfolios return with the returns on

4、a comparison universe.The comparison universe is a benchmark composed of a group of funds or portfolios with similar risk characteristics,such as growth stock funds or high-yield bond funds.Adjusting Returns for Risk8INVESTMENTS|BODIE,KANE,MARCUSFigure 24.1 Universe Comparison9INVESTMENTS|BODIE,KANE

5、,MARCUS1)Sharpe IndexRisk Adjusted Performance:Sharperp=Average return on the portfolio rf=Average risk free ratep=Standard deviation of portfolio return10INVESTMENTS|BODIE,KANE,MARCUS2)Treynor MeasureRisk Adjusted Performance:Treynorrp=Average return on the portfolio rf=Average risk free ratep=Weig

6、hted average beta for portfolio11INVESTMENTS|BODIE,KANE,MARCUSRisk Adjusted Performance:Jensen3)Jensens Measurep=Alpha for the portfoliorp =Average return on the portfoliop=Weighted average Betarf =Average risk free raterm=Average return on market index portfolio12INVESTMENTS|BODIE,KANE,MARCUSInform

7、ation RatioInformation Ratio=p/(ep)The information ratio divides the alpha of the portfolio by the nonsystematic risk.Nonsystematic risk could,in theory,be eliminated by diversification.13INVESTMENTS|BODIE,KANE,MARCUSM2 MeasureDeveloped by Modigliani and ModiglianiCreate an adjusted portfolio(P*)tha

8、t has the same standard deviation as the market index.Because the market index and P*have the same standard deviation,their returns are comparable:14INVESTMENTS|BODIE,KANE,MARCUSM2 Measure:ExampleManaged Portfolio:return=35%standard deviation=42%Market Portfolio:return=28%standard deviation=30%T-bil

9、l return=6%P*Portfolio:30/42=.714 in P and (1-.714)or.286 in T-billsThe return on P*is(.714)(.35)+(.286)(.06)=26.7%Since this return is less than the market,the managed portfolio underperformed.15INVESTMENTS|BODIE,KANE,MARCUSFigure 24.2 M2 of Portfolio P16INVESTMENTS|BODIE,KANE,MARCUSIt depends on i

10、nvestment assumptions1)If the portfolio represents the entire risky investment,then use the Sharpe measure.2)If the portfolio is one of many combined into a larger investment fund,use the Jensen or the Treynor measure.The Treynor measure is appealing because it weighs excess returns against systemat

11、ic risk.Which Measure is Appropriate?17INVESTMENTS|BODIE,KANE,MARCUSTable 24.1 Portfolio PerformanceIs Q better than P?18INVESTMENTS|BODIE,KANE,MARCUSFigure 24.3 Treynors Measure19INVESTMENTS|BODIE,KANE,MARCUSTable 24.3 Performance Statistics20INVESTMENTS|BODIE,KANE,MARCUSInterpretation of Table 24.

12、3If P or Q represents the entire investment,Q is better because of its higher Sharpe measure and better M2.If P and Q are competing for a role as one of a number of subportfolios,Q also dominates because its Treynor measure is higher.If we seek an active portfolio to mix with an index portfolio,P is

13、 better due to its higher information ratio.21INVESTMENTS|BODIE,KANE,MARCUSPerformance Measurement for Hedge FundsWhen the hedge fund is optimally combined with the baseline portfolio,the improvement in the Sharpe measure will be determined by its information ratio:22INVESTMENTS|BODIE,KANE,MARCUSPer

14、formance Measurement with Changing Portfolio CompositionWe need a very long observation period to measure performance with any precision,even if the return distribution is stable with a constant mean and variance.What if the mean and variance are not constant?We need to keep track of portfolio chang

15、es.23INVESTMENTS|BODIE,KANE,MARCUSFigure 24.4 Portfolio Returns24INVESTMENTS|BODIE,KANE,MARCUSMarket TimingIn its pure form,market timing involves shifting funds between a market-index portfolio and a safe asset.Treynor and Mazuy:Henriksson and Merton:25INVESTMENTS|BODIE,KANE,MARCUSFigure 24.5:No Ma

16、rket Timing;Beta Increases with Expected Market Excess.Return;Market Timing with Only Two Values of Beta.26INVESTMENTS|BODIE,KANE,MARCUSFigure 24.6 Rate of Return of a Perfect Market Timer27INVESTMENTS|BODIE,KANE,MARCUSStyle AnalysisIntroduced by William SharpeRegress fund returns on indexes represe

17、nting a range of asset classes.The regression coefficient on each index measures the funds implicit allocation to that“style.”R square measures return variability due to style or asset allocation.The remainder is due either to security selection or to market timing.28INVESTMENTS|BODIE,KANE,MARCUSTab

18、le 24.5 Style Analysis for Fidelitys Magellan Fund29INVESTMENTS|BODIE,KANE,MARCUSFigure 24.7 Fidelity Magellan Fund Cumulative Return Difference30INVESTMENTS|BODIE,KANE,MARCUSFigure 24.8 Average Tracking Error for 636 Mutual Funds,1985-198931INVESTMENTS|BODIE,KANE,MARCUSEvaluating Performance Evalua

19、tionPerformance evaluation has two key problems:1.Many observations are needed for significant results.2.Shifting parameters when portfolios are actively managed makes accurate performance evaluation all the more elusive.32INVESTMENTS|BODIE,KANE,MARCUSA common attribution system decomposes performan

20、ce into three components:1.Allocation choices across broad asset classes.2.Industry or sector choice within each market.3.Security choice within each sector.Performance Attribution33INVESTMENTS|BODIE,KANE,MARCUSSet up a Benchmark or Bogey portfolio:Select a benchmark index portfolio for each asset c

21、lass.Choose weights based on market expectations.Choose a portfolio of securities within each class by security analysis.Attributing Performance to Components34INVESTMENTS|BODIE,KANE,MARCUSCalculate the return on the Bogey and on the managed portfolio.Explain the difference in return based on compon

22、ent weights or selection.Summarize the performance differences into appropriate categories.Attributing Performance to Components35INVESTMENTS|BODIE,KANE,MARCUSWhere B is the bogey portfolio and p is the managed portfolioFormulas for Attribution36INVESTMENTS|BODIE,KANE,MARCUSFigure 24.10 Performance

23、Attribution of ith Asset Class37INVESTMENTS|BODIE,KANE,MARCUSPerformance AttributionSuperior performance is achieved by:overweighting assets in markets that perform wellunderweighting assets in poorly performing markets38INVESTMENTS|BODIE,KANE,MARCUSTable 24.7 Performance Attribution 39INVESTMENTS|BODIE,KANE,MARCUSSector and Security SelectionGood performance(a positive contribution)derives from overweighting high-performing sectorsGood performance also derives from underweighting poorly performing sectors.40