Class Notes (838,025)
Canada (510,638)
York University (35,470)
ADMS 4501 (65)
all (24)
Lecture

lecture_11 notes.docx

2 Pages
38 Views
Unlock Document

Department
Administrative Studies
Course
ADMS 4501
Professor
All Professors
Semester
Winter

Description
Advanced Portfolio Management ADMS 4501 – Winter 2012 – Lois King Lecture 11 – Chapter 18 – Evaluation of Portfolio Performance – Mar 22 Evaluation of Portfolio Performance - Peer group comparisons o Collects the returns produced by a representative universe of investors over a specific period of time. o Potential problems  No explicit adjustment for risk.  Difficult to form comparable peer group. - Risk-adjusted performance measures o Treynor portfolio performance measure  Builds on capital markets theory (include CAPM)  Assumes a completely diversified portfolio leaving systematic risk as the relevant risk.  Focuses on the portfolio’s undiversifiable risk: market or systematic risk. o Sharpe Portfolio Performance Measure  Seeks to measure the total risk of a portfolio, not just the level of systematic risk.  Shows the risk premium earned over the risk free rate per unit of standard deviation (or total risk).  Sharpe ratios greater than the ratio for the market portfolio indicate superior performance.  Linked to the CML. o Applying the Jensen Measure  Requires using a different RFR for each time interval during the sample period.  Does not directly consider portfolio manager’s ability to diversify because it calculates risk premiums in terms of systematic risk (similar to the Treynor measure).  Flexible enough to allow for alternative models of risk and expected return than the CAPM. Risk-adjusted performance can be computed relative
More Less

Related notes for ADMS 4501

Log In


OR

Join OneClass

Access over 10 million pages of study
documents for 1.3 million courses.

Sign up

Join to view


OR

By registering, I agree to the Terms and Privacy Policies
Already have an account?
Just a few more details

So we can recommend you notes for your school.

Reset Password

Please enter below the email address you registered with and we will send you a link to reset your password.

Add your courses

Get notes from the top students in your class.


Submit