TAILIEUCHUNG - Essentials of Investments: Chapter 18 - Active Management and Performance Measurement

Essentials of Investments: Chapter 18 - Active Management and Performance Measurement to introduce the most widespread approaches to risk adjustment for performance evaluation. It includes Introduction, The Conventional Theory of Performance Evaluation, Market Timing. | Bodie Kane Marcus Perrakis Ryan Chapter 20 INVESTMENTS, Fourth Canadian Edition Active Management and Performance Measurement Slide 20-1 Copyright © McGraw-Hill Ryerson Limited, 2003 Bodie Kane Marcus Perrakis Ryan INVESTMENTS, Fourth Canadian Edition Chapter Summary Objective: To introduce the most widespread approaches to risk adjustment for performance evaluation. Slide 20-2 Introduction The Conventional Theory of Performance Evaluation Market Timing Copyright © McGraw-Hill Ryerson Limited, 2003 Bodie Kane Marcus Perrakis Ryan INVESTMENTS, Fourth Canadian Edition The Objective of Active Management Are markets totally efficient? Some managers outperform the market for extended periods While the abnormal performance may not be too large, it is too large to be attributed solely to noise Evidence of anomalies such as the turn of the year exist The evidence suggests that there is some role for active management Slide 20-3 Copyright © McGraw-Hill Ryerson Limited, 2003 Bodie Kane Marcus Perrakis Ryan INVESTMENTS, Fourth Canadian Edition Introduction to Performance Appraisal Complicated subject Theoretically correct measures are difficult to construct Different statistics or measures are appropriate for different types of investment decisions or portfolios Many industry and academic measures are different The nature of active management leads to measurement problems Slide 20-4 Copyright © McGraw-Hill Ryerson Limited, 2003 Bodie Kane Marcus Perrakis Ryan INVESTMENTS, Fourth Canadian Edition Abnormal Performance What is abnormal? Abnormal performance is measured: Benchmark portfolio Market adjusted Market model / index model adjusted Reward to risk measures such as the Sharpe Measure: E (rp-rf) / sp Slide 20-5 Copyright © McGraw-Hill Ryerson Limited, .

• Kinh tế học
• Essentials of Investments
• Active Management
• Performance Measurement
• The Conventional Theory of Performance Evaluation
• Market Timing
• Performance Appraisal
• Ebook Essentials of investments
• Investment companies
• Debt securities
• Portfolio theory
• Securities markets
• Capital asset pricing
• Derivative markets
• Active investment management
• Equity valuation
• Financial statement analysis
• Financial Assets
• The Investment Process
• Major Classes of Financial Assets
• Key Trends
• Global Markets
• Industry analysis
• Options markets
• Option valuation
• Futures markets
• Asset classes
• Financial instruments
• Other investment companies
• Behavioral finance
• Technical analysis
• Mutual funds
• International investing
• Performance evaluation
• Financial Markets
• Money Market Instrument Yields
• Bank Discount Rate
• Bond Equivalent Yield
• Securities market
• Secondary Security Sales
• Investment Banking Arrangements
• Public Offerings
• Private Placements
• Net Asset Value
• Types of Investment Companies
• Rates of Return
• Returns Using Arithmetic
• Geometric Averaging
• Dollar Weighted Returns
• Dollar Weighted Average Using Text
• Efficient Diversification
• Correlation Coefficients
• Three Security Portfolio
• Minimum Variance Combination
• Extending Concepts to All Securities
• Arbitrage Pricing Theory
• Resulting Equilibrium Conditions
• Capital Market Line
• Market Risk Premium
• The Efficient Market Hypothesis
• Versions of the EMH
• Types of Stock Analysis
• Resource Allocation
• How Tests Are Structured
• Behavioral Critiqu
• Share Price
• Moving Averages
• Bond Prices
• Bond Characteristics
• Corporate Bonds
• Preferred Stock
• Innovation in the Bond Market
• Bond Pricing Relationships
• Rules for Duration
• Callable Bonds
• Mortgage Backed Securities
• Passive Managemen
• Fundamental Analysis
• The Global Econom
• The Domestic Macroeconom
• The Domestic Macroeconomy
• Models of Equity Valuation
• Valuation by Comparables
• Limitations of Book Value
• Financial Statements
• Profitability Measures
• Financial Leverage
• Option Terminology
• Exercise Price Relationships
• European Options
• Different Types of Options
• Factors influencing option values
• BlacScholes option valuation
• Using the BlacScholes formula
• Binomial Option Pricing
• Risk Management
• Basics of Futures Contracts
• Existing Contracts
• Trading Mechanics