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24)

Portfolio Performance Evaluation

Measuring investment returns

The conventional theory of performance

evaluation

Market timing

Performance attribution procedures

MeasuringInvestmentReturns

One period:

total proceeds

income capital gain

rate of return

intial investment

initial investment

value of all cash flows from the investment with the

initial outlay.

Example:

Consider a stock paying a dividend of $2 annually

that currently sells for $50.

You purchase the stock today and collect the $2

dividend, and then you sell the stock for $53 at yearend.

2 ( 53 50)

rate of return

10%

50

2 53

50

r 10%

1 r

3

Multiperiod:

Arithmetic averages:

rA

0.021

5

4

Geometric averages:

The compound average growth rate, rG, is calculated

as the solution to the following equation:

(1 rG )5

(1 0.1189 )(1 0.221)(1 0.2869)(1 0.1088)(1 0.0491)

1.0275

rG 0.0054

In general:

(1 rG ) n (1 r1 )(1 r2 )...(1 rn )

where rt is the return in each time period.

5

Consider a stock that doubles in price in period 1 (r1

= 100%) and halves in price in period 2 (r2 = -50%).

The arithmetic average is:

rA = [100 + (-50)]/2 = 25%

The geometric average is:

rG = [(1 + 1)(1 - 0.5)]1/2 1 = 0

the 100% return in period 1 in the calculation of the

geometric average, resulting in an average return of

zero.

This is not true of the arithmetic average.

In general, the bad returns have a greater influence

on the averaging process in the geometric technique.

Therefore, geometric averages are lower.

calculation of historical returns (i.e. measure of past

performance), whereas the arithmetic average is

more appropriate for forecasting future returns:

Example 1:

Consider a stock that will either double in value (r =

100%) with probability of 0.5, or halve in value (r =

-50%) with probability 0.5.

InvestmentOutcome

Double

Halve

FinalValueofEach

DollarInvested

One-YearRateofReturn

$2.00

100%

$0.50

-50%

8

period is characteristic of the probability distribution,

doubling in one year and halving in the other.

The stocks price ends up exactly where it started, and

the geometric average annual return is zero:

2

(1 rG ) (1 100%)(1 50%) 1

rG 0

which confirms that a zero year-by-year return would

have replicated the total return earned on the stock.

9

the stock is not zero.

It is the arithmetic average of 100% and -50%:

(100 - 50)/2 = 25%.

There are two equally likely outcomes per dollar

invested: either a gain of $1 (when r = 100%) or a loss

of $0.50 (when r = -50%).

The expected profit is ($1 - $0.50)/2 = $0.25, for a 25%

expected rate of return.

The profit in the good year more than offsets the loss

in the bad year, despite the fact that the geometric

return is zero. The arithmetic average return thus

provides the best guide to expected future returns.

10

Example 2:

Consider all the possible outcomes over a two-year

period:

InvestmentOutcome

Double,double

Double,halve

Halve,double

Halve,halve

FinalValueofEach

DollarInvested

$4.00

$1.00

$1.00

$0.25

TotalReturn

overTwoYears

300%

0%

0%

-75%

11

(4 + 1 + 1 + 0.25)/4 = $1.5625

for two years, again indicating an average rate of

return of 25% per year, equal to the arithmetic

average.

Note that an investment yielding 25% per year with

certainty will yield the same final compounded value

as the expected final value of this investment:

(1 + 0.25)2 = 1.5625.

12

[300 + 0 + 0 + (-75)]/4 = 56.25%

per two years, for an effective annual return of 25%

since:

(1 + 25%)(1 + 25%) 1 = 56.25%.

In contrast, the geometric mean return is zero since:

[(1 + 3)(1 + 0)(1 + 0)(1 0.75)]1/4 = 1.0

Again, the arithmetic average is the better guide to

future performance.

13

Dollar-weighted

returns:

returns

versus

time-weighted

Example:

Time

0

1

1

2

Outlay

$50topurchasefirstshare

$53topurchasesecondshareayearlater

Proceeds

$2dividendfrominitiallypurchasedshare

$4dividendfromthe2sharesheldinthe

secondyear,plus$108receivedfromselling

bothsharesat$54each

14

Dollar-weighted returns:

Using the discounted cash flow (DCF) approach,

we can solve for the average return over the two

years by equating the present values of the cash

inflows and outflows:

53

2

112

50

1 r 1 r (1 r ) 2

r 7.117 %

15

the dollar-weighted rate of return on the

investment.

It is dollar weighted because the stocks

performance in the second year, when two shares

of stock are held, has a greater influence on the

average overall return than the first-year return,

when only one share is held.

16

Time-weighted returns:

Ignore the number of shares of stock held in each

period.

The stock return in the 1st year:

2 ( 53 50)

r1

10%

50

The stock return in the 2nd year:

2 ( 54 53)

r2

5.66%

53

17

is:

This average return considers only the periodby-period returns without regard to the amounts

invested in the stock in each period.

Note that the dollar-weighted average is less than

the time-weighted average in this example

because the return in the second year, when

more money is invested, is lower.

18

Note:

For an investor that has control over

contributions to the investment portfolio, the

dollar-weighted return is more comprehensive

measure.

Time-weighted returns are more likely

appropriate to judge the performance of an

investor that does not control the timing or the

amount of contributions.

19

TheConventionalTheoryof

PerformanceEvaluation

Several risk-adjusted performance measures:

Sharpes measure:

rP r f

P

return over the sample period by the standard

deviation of returns over that period.

It measures the reward to (total) volatility trade-off.

Note: The risk-free rate may not be constant over

the measurement period, so we are taking a sample

average, just as we do for rP.

20

Treynors measure:

rP r f

return per unit of risk, but it uses systematic risk

instead of total risk.

Jensens measure:

P r P [r f P ( r M r f )]

portfolio over and above that predicted by the

CAPM, given the portfolios beta and the average

market return.

Jensens measure is the portfolios alpha value.

21

Information ratio:

P

(eP )

portfolio by the nonsystematic risk of the portfolio.

It measures abnormal return per unit of risk that in

principle could be diversified away by holding a

market index portfolio.

Note:

Each measure has some appeal.

But each does not necessarily provide consistent

assessments of performance, since the risk

measures used to adjust returns differ substantially.

22

sample period:

Portfolio P

Market M

Average return

35%

28%

Beta

1.20

1.00

Standard deviation

42%

30%

18%

23

Sharpes measure:

SP

rP r f

35 6

0.69

42

28 6

SM

0.73

30

Treynors measure:

TP

rP r f

35 6

24.2

1 .2

28 6

TM

22

1

24

Jensens measure:

M r M [ r f 1( r M r f )] 0

Information ratio:

P

2 .6

Portfolio P :

0.144

(e P ) 18

Market : 0

25

While the Sharpe ratio can be used to rank

portfolio performance, its numerical value is not

easy to interpret.

We have found that SP = 0.69 and SM = 0.73.

This suggests that portfolio P under-performed the

market index.

But is a difference of 0.04 in the Sharpe ratio

economically meaningful?

We often compare rates of return, but these ratios

are difficult to interpret.

26

managed portfolio, P, is mixed with a position in Tbills so that the complete, or adjusted, portfolio

(P*) matches the volatility of a market index (such

as the S&P500).

Because the market index and portfolio P* have the

same standard deviation, we may compare their

performance simply by comparing returns.

This is the M2 measure:

M rP * rM

27

Example:

P has a standard deviation of 42% versus a market

standard deviation of 30%.

The adjusted portfolio P* would be formed by mixing

portfolio P and T-bills and :

weight in P: 30/42 = 0.714

weight in T-bills: (1 - 0.714) = 0.286.

The return on this portfolio P* would be:

(0.286 6%) + (0.714 35%) = 26.7%

Thus, portfolio P has an M2 measure:

26.7 28 = -1.3%.

28

29

corresponding to portfolio P (by mixing P with Tbills) until we reduce the standard deviation of the

adjusted portfolio to match that of the market index.

The M2 measure is then the vertical distance (i.e., the

difference in expected returns) between portfolios P*

and M.

P will have a negative M2 measure when its capital

allocation line is less steep than the capital market

line (i.e., when its Sharpe ratio is less than that of the

market index).

30

in 3 scenarios

Suppose that Jane constructs a portfolio (P) and

holds it for a considerable period of time.

She makes no changes in portfolio composition

during the period.

In addition, suppose that the daily rates of return on

all securities have constant means, variances, and

covariances. This assures that the portfolio rate of

return also has a constant mean and variance.

We want to evaluate the performance of Janes

portfolio.

31

investment fund:

We need to ascertain only whether Janes portfolio

has the highest Sharpe measure.

We can proceed in 3 steps:

Assume that past security performance is

representative of expected performance, meaning

that realized security returns over Janes holding

period exhibit averages and covariances similar to

those that Jane had anticipated.

32

that Jane would have held if she had chosen a

passive strategy, such as the S&P 500.

Compare Janes Sharpe measure to that of the

best portfolio.

In sum:

When Janes portfolio represents her entire

investment fund, the benchmark is the market

index or another specific portfolio.

The performance criterion is the Sharpe measure

of the actual portfolio versus the benchmark.

33

with the market-index portfolio M:

When the two portfolios are mixed optimally, the

square of the Sharpe measure of the complete

portfolio, C, is given by:

SC2

2

SM

P 2

[

]

(eP )

portfolio relative to the market-index, and (eP) is

the diversifiable risk.

34

measure for P in this case, since it gives the

improvement in the Sharpe measure of the overall

portfolio.

To see this result intuitively, recall the single-index

model:

rP r f P P ( rM r f ) e P

If P is fairly priced, then P = 0, and eP is just

diversifiable risk that can be avoided.

35

Instead, it represents the expected abnormal return.

Holding P in addition to the market portfolio thus

brings a reward of P against the nonsystematic risk

voluntarily incurred, (eP).

Therefore, the ratio of P / (eP) is the natural

benefit-to-cost ratio for portfolio P.

This performance measurement is the information

ratio.

36

combined into a large investment fund:

The Treynor measure is the appropriate criterion.

E.g.:

Beta

Excess return

(r r f )

Alpha*

Portfolio P

Portfolio Q

Market

0.90

1.60

1.00

11%

19%

10%

2%

3%

( r r f ) ( r M r f ) r [ r f ( r M r f )]

37

38

Note:

We plot P and Q in the expected return-beta

(rather than the expected return-standard

deviation) plane, because we assume that P

and Q are two of many sub-portfolios in the

fund, and thus that nonsystematic risk will be

largely diversified away, leaving beta as the

appropriate risk measure.

39

Specifically, if we invest wQ in Q and wF = 1 - wQ in

T-bills, the resulting portfolio, Q*, will have alpha

and beta values proportional to Qs alpha and beta

scaled down by wQ:

Q* wQ Q

Q* wQ Q

with T-bills plot on a straight line from the origin

through Q.

We call it the T-line for the Treynor measure,

which is the slope of this line.

40

Despite its lower alpha, P is a better portfolio after

all.

For any given beta, a mixture of P with T-bills will

give a better alpha than a mixture of Q with Tbills.

41

create a portfolio Q* with a beta equal to that of P.

We find the necessary proportion by solving for wQ:

Q* wQ Q 1.6 wQ P 0.9

wQ 9 / 16

Portfolio Q* has an alpha of:

Q* wQ Q ( 9 / 16) 3 1.69%

which is less than that of P.

42

appropriate performance criterion for this case.

The slope of the T-line for P, denoted by TP, is:

TP

rP r f

when an asset is part of a large investment portfolio,

one should weigh its mean excess return against its

systematic risk rather than against total risk to

evaluate contribution to performance.

43

An example:

Excess returns for portfolios P & Q and the

benchmark M over 12 months:

44

Performance statistics:

45

that its beta is significantly higher (1.40 vs. 0.70).

On the other hand, from its residual standard

deviation P appears better diversified (2.02% vs.

9.81%).

Both portfolios outperformed the benchmark

market index, as is evident from their larger

Sharpe measures (and thus positive M2) and their

positive alphas.

46

reported performance?

If P or Q represents the entire investment fund, Q

would be preferable on the basis of its higher

Sharpe measure (0.49 vs. 0.43) and better M2

(2.66% vs. 2.16%).

As an active portfolio to be mixed with the market

index, P is preferable to Q, as is evident from its

information ratio (0.81 vs. 0.54).

47

number of subportfolios, Q dominates again

because its Treynor measure is higher (5.38 versus

3.97).

Thus, the example illustrates that the right way to

evaluate a portfolio depends in large part how the

portfolio fits into the investors overall wealth.

48

performance measures

The relation between Treynors measure and

Jensens :

TP

E ( rP ) r f

E ( rP ) [r f p ( E ( rM ) r f )] p ( E ( rM ) r f )

P

P

P

[ E ( rM ) r f ]

TM

P

P

49

:

SP

E ( rP ) r f

E ( rP ) [r f p ( E ( rM ) r f )] p ( E ( rM ) r f )

P

2

P M

P M

cov( rP , rM )

PM

P M

P M

P

P PM

P

M

50

P p ( E ( rM ) r f )

SP

P

P

P PM

[ E ( rM ) r f ]

P M

P

PM S M

P

51

Performance measurement

with changing portfolio composition

Estimating various statistics from a sample period

assuming a constant mean and variance may lead to

substantial errors.

Example:

Suppose that the Sharpe measure of the market

index is 0.4.

Over an initial period of 52 weeks, the portfolio

manager executes a low-risk strategy with an

annualized mean excess return of 1% and standard

deviation of 2%.

52

beats the passive strategy.

Over the next 52-week period this manager finds

that a high-risk strategy is optimal, with an

annual mean excess return of 9% and standard

deviation of 18%.

Here, again, the Sharpe measure is 0.5.

Over the two-year period our manager maintains

a better-than-passive Sharpe measure.

53

variable than in the first four:

54

3%, -1%, and 3%, making for an average of 1%

and standard deviation of 2%.

In the next 4 quarters the returns are -9%, 27%,

-9%, 27%, making for an average of 9% and

standard deviation of 18%.

Thus both years exhibit a Sharpe measure of 0.5.

However, over the 8-quarter sequence the mean and

standard deviation are 5% and 13.42%,

respectively, making for a Sharpe measure of only

0.37, apparently inferior to the passive strategy.

55

the next was not recognized as a shift in strategy.

Instead, the difference in mean returns in the two

years added to the appearance of volatility in

portfolio returns.

The active strategy with shifting means appears

riskier than it really is and biases the estimate of the

Sharpe measure downward.

We conclude that for actively managed portfolios it

is helpful to keep track of portfolio composition and

changes in portfolio mean and risk.

56

MarketTiming

Market timing involves shifting funds between a

market-index portfolio and a safe asset (such as

T-bills or a money market fund), depending on

whether the market as a whole is expected to

outperform the safe asset.

In practice, most managers do not shift fully, but

partially, between T-bills and the market.

57

Suppose that an investor holds only the marketindex portfolio and T-bills.

If the weight of the market were constant, say, 0.6,

then portfolio beta would also be constant, and the

security characteristic line (SCL) would plot as a

straight line with slope 0.6.

58

59

shift funds into it in periods when the market does

well.

If bull and bear markets can be predicted, the

investor will shift more into the market when the

market is about to go up.

The portfolio beta and the slope of the SCL will be

higher when rM is higher, resulting in the curved

line.

60

market excess return:

61

term to the usual linear index model:

rP r f a b( rM r f ) c ( rM r f ) 2 e P

estimated by regression analysis.

If c turns out to be positive, we have evidence of

timing ability, because this last term will make the

characteristic line steeper as (rM - rf) is larger.

62

beta of the portfolio take only two values: a large

value if the market is expected to do well and a

small value otherwise.

63

rP r f a b( rM r f ) c ( rM r f ) D e P

and zero otherwise.

Hence, the beta of the portfolio is b in bear markets

and b + c in bull markets.

Again, a positive value of c implies market timing

ability.

64

Example:

Regressing the excess returns of portfolios P and Q on

the excess returns of M and the square of these

returns:

rP r f a P bP ( rM r f ) c P ( rM r f ) 2 e P

rQ r f aQ bQ ( rM r f ) cQ ( rM r f ) 2 eQ

we derive the following statistics:

65

from the single variable regression (reported in Table

24.3).

66

The results for portfolio Q reveal that timing has, in

all likelihood, successfully been attempted (cQ = 0.10).

The evidence thus suggests successful timing (positive

c) offset by unsuccessful stock selection (negative a).

Note that the alpha estimate, a, is now -2.29% as

opposed to the 5.26% estimate derived from the

regression equation that did not allow for the

possibility of timing activity.

67

PerformanceAttributionProcedures

Portfolio managers constantly make broad-brush

asset allocation decisions as well as more detailed

sector and security allocation decisions within asset

class.

Performance attribution studies attempt to decompose

overall performance into discrete components that

may be identified with a particular level of the

portfolio selection process.

68

performance and that of a benchmark portfolio

then may be expressed as the sum of the

contributions to performance of a series of

decisions made at the various levels of the portfolio

construction process.

For example, one common attribution system

decomposes performance into 3 components:

broad asset market allocation choices across

equity, fixed-income, and money markets.

industry (sector) choice within each market.

security choice within each sector.

69

returns between a managed portfolio, P, and a

selected benchmark portfolio, B (called the bogey).

Suppose that the universe of assets for P and B

includes n asset classes such as equities, bonds, and

bills.

For each asset class, a benchmark index portfolio is

determined.

For example, the S&P 500 may be chosen as

benchmark for equities.

70

each asset class, and its rate of return is given by:

n

rB wBi rBi

i 1

rBi: return on the benchmark portfolio of that

class over the evaluation period.

71

class (wPi) based on their capital market

expectations, and they choose a portfolio of the

securities within each class based on their security

analysis, which earns rPi over the evaluation

period.

Thus, the return of the managed portfolio will be:

n

rP wPi rPi

i 1

72

n

i 1

i 1

i 1

We can decompose each term of the summation into

a sum of two terms as follows:

Contribution from asset allocation: ( wPi wBi ) rBi

+ Contribution from selection:

73

74

Example:

Consider the attribution results for a portfolio

which invests in stocks, bonds, and money market

securities.

The managed portfolio is invested in the equity,

fixed-income, and money markets with weights of

70%, 7%, and 23%, respectively.

The portfolio return over the month is 5.34%.

75

Component

Benchmark Weight

Return of Index

during Month (%)

0.60

5.81

Bonds (Barclays

Aggregate Bond

Index)

0.30

1.45

0.10

0.48

5.34%

3.97%

1.37%

76

Note:

The bogey portfolio is comprised of investments in

each index with the following weights:

60%: equity

30%: fixed income

10%: cash (money market securities).

These weights are designated as neutral or usual.

They depend on the risk tolerance of the investor and

must be determined in consultation with the client.

77

allocation.

Any deviation from these weights must be justified

by a belief that one or another market will either

over- or underperform its usual risk-return

profile.

78

Performance

(1)

(2)

Actual

Benchmark

Weight in

Weight in

Excess

Market

Performance

Market

Market

Market

Weight

Return

(%)

(%)

Equity

0.70

0.60

0.10

5.81

0.5810

Fixed-income

0.07

0.30

-0.23

1.45

-0.3335

Cash

0.23

0.10

0.13

0.48

0.0624

(3)

(4)

Contribution to

0.3099

79

(1)

(2)

(3)

Portfolio

Index

Excess

(4)

Portfoli

o

Contribution

Market

(%)

(%)

(%)

Weight

(%)

Equity

7.28

5.81

1.47

0.70

1.03

0.44

0.07

0.03

1.06

Fixed1.89

1.45

income

Contribution of selection

within

markets

80

81

82

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