TAILIEUCHUNG - Lecture Investments (6/e) - Chapter 24: Futures markets

How can we evaluate the performance of a portfolio manager? It turns out that even average portfolio return is not as straightforward to measure as it might seem. In addition, adjusting average returns for risk presents a host of other problems. In this chapter, we begin with the measurement of portfolio returns. From there we move on to conventional approaches to risk adjustment. We identify the problems with these approaches when applied in various situations. | Chapter 24 Portfolio Performance Evaluation 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 Introduction Dollar-weighted returns Internal rate of return considering the cash flow from or to investment Returns are weighted by the amount invested in each stock Time-weighted returns Not weighted by investment amount Equal weighting Dollar- and Time-Weighted Returns Text Example of Multiperiod Returns Period Action 0 Purchase 1 share at $50 1 Purchase 1 share at $53 Stock pays a dividend of $2 per share 2 Stock pays a dividend of $2 per share Stock is sold at $108 per share Period Cash Flow 0 -50 share purchase 1 +2 dividend -53 share purchase 2 +4 dividend + 108 shares sold Internal Rate of Return: Dollar-Weighted Return Time-Weighted Return .

• Quỹ đầu tư
• Investment environment
• Lecture Investments
• Active portfolio management
• Capital markets
• Portfolio performance evaluation
• Measuring investment returns
• Investment analysis
• Portfolio management
• Investment management
• Investment theory
• Investment companies
• Time value of money
• Doctoral thesis summary
• The impact of the investment environment
• Investment decisions
• Small and medium enterprises
• Investment decision of the business
• Characteristics of investment