Class Notes (906,169)
CA (538,602)
York (38,206)
ADMS (3,447)
ADMS 3531 (30)
all (27)

lecture_8 notes.docx

2 Pages

Administrative Studies
Course Code
ADMS 3531

This preview shows half of the first page. Sign up to view the full 2 pages of the document.
Personal Investment Management
ADMS 3531 - Fall 2011 – Professor Dale Domian
Lecture 8 Part 2 – Performance Evaluation and Risk Management – Nov
Chapter 13 Outline
-Active and passive portfolio management.
-Performance evaluation.
-Comparing performance measures.
-Investment risk management.
-More on computing value-at-risk.
Performance Evaluation and Risk Management
-Our goals in this chapter are to learn methods of:
oEvaluating risk-adjusted investment performance; and
oAssessing and managing the risks involved with specific investment strategies.
Performance Evaluation
-Can anyone consistently earn an ‘excess’ return, thereby ‘beating the market?
-Performance evaluation is a term for assessing how well a money manager achieves a
balance between high returns and acceptable risks.
Performance Evaluation Measures
-The raw return on a portfolio is simply the total percentage return on a portfolio.
-The raw return is a naïve performance evaluation measures because:
oThe raw return has no adjustment for risk.
oThe raw return is not compared to any benchmark or standard.
-Therefore, the usefulness of the raw return on a portfolio is limited.
-The Sharpe ratio is a reward-to-risk ration that focuses on total risk.
oIt is computed as a portfolios risk premium divided by the standard deviation for
the portfolio’s return.
-The Treynor ratio is a reward-to-risk ratio that looks at systematic risk only.
oIt is computed as a portfolios risk premium divided by the portfolios beta
-Jensen’s alpha is the excess return above or below the security market line. It can be
interpreted as a measure of how much the portfolio ‘beat the market’.

Loved by over 2.2 million students

Over 90% improved by at least one letter grade.

Leah — University of Toronto

OneClass has been such a huge help in my studies at UofT especially since I am a transfer student. OneClass is the study buddy I never had before and definitely gives me the extra push to get from a B to an A!

Leah — University of Toronto
Saarim — University of Michigan

Balancing social life With academics can be difficult, that is why I'm so glad that OneClass is out there where I can find the top notes for all of my classes. Now I can be the all-star student I want to be.

Saarim — University of Michigan
Jenna — University of Wisconsin

As a college student living on a college budget, I love how easy it is to earn gift cards just by submitting my notes.

Jenna — University of Wisconsin
Anne — University of California

OneClass has allowed me to catch up with my most difficult course! #lifesaver

Anne — University of California
Personal Investment Management ADMS 3531 ­ Fall 2011 – Professor Dale Domian Lecture 8 Part 2 – Performance Evaluation and Risk Management – Nov  8 Chapter 13 Outline ­ Active and passive portfolio management.  ­ Performance evaluation. ­ Comparing performance measures. ­ Investment risk management. ­ More on computing value­at­risk. Performance Evaluation and Risk Management ­ Our goals in this chapter are to learn methods of: o Evaluating risk­adjusted investment performance; and o Assessing and managing the risks involved with specific investment strategies. Performance Evaluation ­ Can anyone consistently earn an ‘excess’ return, thereby ‘beating’ the market? ­ Performance evaluation is a term for assessing how well a money manager achieves a  balance between high returns and acceptable risks. Performance Evaluation Measures ­ The raw return on a portfolio is simply the total percentage return on a portfolio.  ­ The raw return is a naïve performance evaluation measures because: o The raw return has no adjustment for risk.  o The raw return is not compared to any benchmark or standard. ­ Therefore, the usefulness of the raw return on a portfolio is limited. ­ The Sharpe ratio is a reward­to­risk ration that focuses on total risk. o It is computed as a portfolio’s risk premium divided by the standard deviation for  the portfolio’s return. ­ The Treynor ratio is a reward­to­risk ratio that looks at systematic risk only.  o It is computed as a portfolio’s risk premium divided by the portfolio’s beta  coefficient. ­ Jensen’s alpha is the excess return above or below the security market line. It can be  interpreted as a measure of how much the portfolio ‘beat the market’.  o It is computed as the raw portfolio return less the expected portfolio return as  predicted
More Less
Unlock Document

Only half of the first page are available for preview. Some parts have been intentionally blurred.

Unlock Document
You're Reading a Preview

Unlock to view full version

Unlock Document

Log In


Don't have an account?

Join OneClass

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

Sign up

Join to view


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.