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Chap013 - Chapter 19 Performance Evaluation and Risk...

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Chapter 19 Performance Evaluation and Risk Management Slides 19-1 Fundamentals of Investments 19-2 It is Not the Return On My Investment ... 19-3 Performance Evaluation & Risk Management 19-4 Performance Evaluation 19-5 Performance Evaluation Measures 19-6 Performance Evaluation Measures 19-7 Work the Web 19-8 Performance Evaluation Measures 19-9 Performance Evaluation Measures 19-10 Performance Evaluation Measures 19-11 Comparing Performance Measures 19-12 Comparing Performance Measures 19-13 Comparing Performance Measures 19-14 Work the Web 19-15 Sharpe-Optimal Portfolios 19-16 Sharpe-Optimal Portfolios 19-17 Sharpe-Optimal Portfolios 19-18 Sharpe-Optimal Portfolios 19-19 Investment Risk Management 19-20 Value-at-Risk (VaR) 19-21 Value-at-Risk (VaR) 19-22 Work the Web 19-23 More on Computing Value-at-Risk 19-24 More on Computing Value-at-Risk 19-25 Work the Web 19-26 Chapter Review 19-27 Chapter Review
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A-157 Chapter 19 Chapter Organization 1. Performance Evaluation A. Performance Evaluation Measures i. The Sharpe Ratio ii. The Treynor Ratio iii. Jensen’s Alpha 2. Comparing Performance Measures A. Sharpe-Optimal Portfolios 3. Investment Risk Management A. Value-at-Risk (VaR) 4. More on Computing Value-at-Risk 5. Summary and Conclusions Selected Web Sites 0. http://www.stanford.edu/~wfsharpe 1. http://www.morningstar.com 2. http://www.gloriamundi.org 3. http://www.garp.org
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Performance Evaluation and Risk Management A-158 Annotated Chapter Outline 1. Performance Evaluation Performance Evaluation: Concerns the assessment of how well a money manager achieves a balance between high returns and acceptable risks. In general terms, performance evaluation focuses on assessing how well a money manager (either a professional or an individual investor) achieves high returns balanced with acceptable risks. Performance evaluation is particularly significant when we consider efficient markets. In Chapter 8, we raised the question of risk-adjusted performance and whether anyone can consistently earn an "excess" return, thereby "beating" the market. Our goal here, however, is to introduce the primary assessment tools,
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