KIC000030 - [ I I / Appraisal Ratio The appraisal ratio...

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Unformatted text preview: [ I I / Appraisal Ratio The appraisal ratio measures abnonnaI return per unit of risk that in principle could be diversified away by holding the market portfolio. AR= a p a, p This measure is useful when ~rtfolio in ffrtJ9 an ~&4~L..portfolio r{}~ with the \\ .-+............... portfolio. Performance Attribution Performance attribution decomposes o.Yerl!ll.Performance into sub-co~onents resulting from ";~;'::T'-':::""- <1\\Q(l1'bga or&1.Unhl Jfcl1Qn decisions. I The attribution method explains the difference in returns between a managed portfolio, P, and a selected benchmark portfolio, B, called the "bogey". Performance Attribution: Example Suppose an active portfolio P is invested 60% in equities, 30% in bonds, and 10% in money market securities. Also, suppose that you consider an asset allocatiou of 50% in equities, 30% in bonds, and 20% in cash to be neutral....
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This note was uploaded on 09/07/2011 for the course FINANCE 320 taught by Professor Sapp during the Fall '10 term at Iowa State.

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KIC000030 - [ I I / Appraisal Ratio The appraisal ratio...

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