Chap013 - Chapter 13 Performance Evaluation and Risk Management Slides 13-1 13-2 13-3 13-4 13-5 13-6 13-7 13-8 13-9 13-10 13-11 13-12 13-13 13-14

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Chapter 13 Performance Evaluation and Risk Management Slides 13-1 Fundamentals of Investments 13-2 It is Not the Return On My Investment . .. 13-3 However, 13-4 Performance Evaluation and Risk Management 13-5 Performance Evaluation 13-6 Performance Evaluation Measures 13-7 Performance Evaluation Measures 13-8 Performance Evaluation Measures 13-9 Performance Evaluation Measures 13-10 Jensen’s Alpha 13-11 Investment Performance Data and Portfolio Performance Measurement 13-12 Comparing Performance Measures, I. 13-13 Comparing Performance Measures, II. 13-14 Sharpe-Optimal Portfolios, I. 13-15 Sharpe-Optimal Portfolios, II. 13-16 Sharpe-Optimal Portfolios, III. 13-17 Example: Solving for a Sharpe-Optimal Portfolio 13-18 Example: Using Excel to Solve for the Sharpe-Optimal Portfolio 13-19 Example: Using Excel to Solve for the Sharpe-Optimal Portfolio, Cont. 13-20 Investment Risk Management 13-21 Value-at-Risk (VaR) 13-22 Example: VaR Calculation 13-23 Example: VaR Calculation, II. 13-24 Example: VaR Calculation, III. 13-25 Example: A Multiple Year VaR, I. 13-26 Example: A Multiple Year VaR, II. 13-27 Example: A Multiple Year VaR, III. 13-28 Computing Other VaRs. 13-29 Useful Websites 13-30 Chapter Review
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A-116 Chapter 13 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 A. VaR for a Sharpe-Optimal Portfolio 5. Summary and Conclusions Selected Web Sites 0. www.stanford.edu/~wfsharpe (visit Professor Sharpe’s homepage) 1. www.morningstar.com (Comprehensive source of investment information) 2. www.gloriamundi.org (learn all about Value-at-Risk) 3. www.garp.org (The Global Association of Risk Professionals) 4. www.riskmetrics.com (Check out risk grades)
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Performance Evaluation and Risk Management A-117 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
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This note was uploaded on 10/19/2009 for the course FIN 322 taught by Professor R.robbin during the Spring '08 term at University of Arizona- Tucson.

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Chap013 - Chapter 13 Performance Evaluation and Risk Management Slides 13-1 13-2 13-3 13-4 13-5 13-6 13-7 13-8 13-9 13-10 13-11 13-12 13-13 13-14

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