Portfolio Management - Performance Measurement

Portfolio Management - Performance Measurement - Portfolio...

Info icon This preview shows pages 1–9. Sign up to view the full content.

View Full Document Right Arrow Icon
1 Portfolio Management – Performance Measurement Copyright © 1996 – 2006 Investment Analytics
Image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full Document Right Arrow Icon
Copyright © 1996-2006 Investment Analytics Performance Measurement Slide: 2 Overview Measuring Profitability Equity Curve Measures Portfolio Performance Measures
Image of page 2
Copyright © 1996-2006 Investment Analytics Performance Measurement Slide: 3 Measuring Profitability Net returns Buy and hold test Distance from the ideal
Image of page 3

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full Document Right Arrow Icon
Copyright © 1996-2006 Investment Analytics Performance Measurement Slide: 4 Net Returns Test of investment strategy Long positions when expected returns are positive Short positions when expected returns are negative = < > = = + + + + = 0 ) ( 0 0 ) ( 1 0 ) ( 1 ) ( 1 1 1 1 1 t t t t t t t t t n t t y f if y f if y f if p y y p r
Image of page 4
Copyright © 1996-2006 Investment Analytics Performance Measurement Slide: 5 Buy and Hold Test Benchmark to quantify excess returns Tests whether profitability is due to predictive ability or just general market conditions C is stock dividend or bond coupon t t n t y y y c r ) ( + = +
Image of page 5

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full Document Right Arrow Icon