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Portfolio Evaluation

Portfolio Evaluation

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Published by nishadhar

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Published by: nishadhar on Feb 03, 2010
Copyright:Attribution Non-commercial

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07/12/2013

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1
Fin 2802, Spring 09 - TangChapter 24: Performance Evaluation
Risk Adjustments
Sharpe measure
Treynor measure
Jensen measure
 
2
Fin 2802, Spring 09 - TangChapter 24: Performance Evaluation
Sharpe Method
Sharpe measure:
r
 p f   p
  
 _
 Reward-to-volatility ratio:
 Appropriate for measuring the relative performance of an
entire 
portfolio.
 
3
M
2
Measure
Developed by Modigliani and Modigliani
Equates the volatility of the managed portfolio with themarket by creating a hypothetical portfolio made up of T- bills and the managed portfolio
If the risk is lower than the market, leverage is used and thehypothetical portfolio is compared to the market

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