PM 3: Measuring portfolio performance

  • Created by: charlie
  • Created on: 20-05-18 15:42
Returns (no cash injections/ withdrawals)
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Money-weighted returns (with cash injections/ withdrawals)
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2 of 20
Time-weighted returns (with cash injections/ withdrawals)
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3 of 20
Mean return: Arithmetic returns (when returns independent)
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4 of 20
Mean return: Geometric returns (when returns aren't independent)
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5 of 20
Market index: Equal weighting
Each stock assigned same weight (rare)
6 of 20
Market index: Price weighting
Avg of stock prices
7 of 20
Market index: Market cap (value) weighting
avg of stock prices x number of shares (common)
8 of 20
Theoretical Market portfolio: Roll's Critique on CAPM
1) market portfolio is unobservable (can only use an imperfect market proxy which doesn't include non-traded assets/ human capital) 2) there may not always be tangency portfolio (mean-variance efficient)
9 of 20
Variance/ SD (tutorial 3)
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10 of 20
Covariance (tutorial 3)
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11 of 20
CML (total risk) or SML (systematic risk)
CML: when portfolio is ones only asset holding (>90% wealth/ not WDP/ lots of idiosyncratic risk)/ SML: when portfolio represents one of many different asset holdings (
12 of 20
Performance measurement: Sharpe (equation/ definition)
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13 of 20
Performance measurement: Sharpe (+ves/ -ves)
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14 of 20
Performance measurement: M (equation + definition)
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15 of 20
Performance measurement: M (+ves/ -ves)
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16 of 20
Performance measurement: Treynor (equation + definition)
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Performance measurement: Treynor (+ves/ -ves)
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18 of 20
Performance measurement: Jenson's alpha (equation + definition)
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19 of 20
Comparing Sharpe + M (linearly related)
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20 of 20

Other cards in this set

Card 2

Front

Money-weighted returns (with cash injections/ withdrawals)

Back

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Card 3

Front

Time-weighted returns (with cash injections/ withdrawals)

Back

Preview of the front of card 3

Card 4

Front

Mean return: Arithmetic returns (when returns independent)

Back

Preview of the front of card 4

Card 5

Front

Mean return: Geometric returns (when returns aren't independent)

Back

Preview of the front of card 5
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