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How Stock Investors Can Evaluate Portfolio Performance
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Book Synopsis How Stock Investors Can Evaluate Portfolio Performance by : Titus Oniyilo
Download or read book How Stock Investors Can Evaluate Portfolio Performance written by Titus Oniyilo and published by Lulu.com. This book was released on 2016-03 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt: The primary objective of this book is to delve into how institutional and individual stock investors can evaluate portfolio performance through a typical assessment of the endowment fund of the University of Ibadan, Nigeria's premier university, as an institutional investor, over an evaluation period of five years, relative to a benchmark portfolio. This is in line with the modern portfolio theory of Harry Markowitz (1952), a Nobel Prize winner in 1990. The book begins with an introduction in chapter one. Chapter two is a synthesis of what constitutes the modern portfolio theory as well as of empirical evidence on the applications of the theory and the alternative theories subsequently developed. Chapter three reveals the techniques for evaluating portfolio performance while chapter four discusses about endowment funds in general. Chapter five presents the results of the application of the evaluation techniques. In conclusion, chapter six rounds up with the summary, recommendations and bibliography.
Book Synopsis Portfolio Performance Evaluation by : George O. Aragon
Download or read book Portfolio Performance Evaluation written by George O. Aragon and published by Now Publishers Inc. This book was released on 2008 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a review of the methods for measuring portfolio performance and the evidence on the performance of professionally managed investment portfolios. Traditional performance measures, strongly influenced by the Capital Asset Pricing Model of Sharpe (1964), were developed prior to 1990. We discuss some of the properties and important problems associated with these measures. We then review the more recent Conditional Performance Evaluation techniques, designed to allow for expected returns and risks that may vary over time, and thus addressing one major shortcoming of the traditional measures. We also discuss weight-based performance measures and the stochastic discount factor approach. We review the evidence that these newer measures have produced on selectivity and market timing ability for professional managed investment funds. The evidence includes equity style mutual funds, pension funds, asset allocation style funds, fixed income funds and hedge funds.
Book Synopsis Portfolio Performance Measurement and Benchmarking, Chapter 12 - Conditional Performance Evaluation by : Jon A. Christopherson
Download or read book Portfolio Performance Measurement and Benchmarking, Chapter 12 - Conditional Performance Evaluation written by Jon A. Christopherson and published by McGraw Hill Professional. This book was released on 2009-05-15 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: Here is a chapter from Portfolio Performance Measurement and Benchmarking, which will help you create a system you can use to accurately measure your performance. The authors highlight common mechanical problems involved in building benchmarks and clearly illustrate the resulting fallouts. The failure to choose the right investing performance benchmarks often leads to bad decisions or inaction and, inevitably, lost profits. In this book you will discover a foundation for benchmark construction and discuss methods for all different asset classes and investment styles.
Book Synopsis How Useful Is the Information Ratio to Evaluate the Performance of Portfolio Managers? by : Christoph Schneider
Download or read book How Useful Is the Information Ratio to Evaluate the Performance of Portfolio Managers? written by Christoph Schneider and published by Diplomica Verlag. This book was released on 2010 with total page 101 pages. Available in PDF, EPUB and Kindle. Book excerpt: The idea of comparing the performance of different risky investments, for example investment funds, on a quantitative basis dates back to the beginnings of the asset management industry and has been an important field of research in finance since then. Performance measures serve as valuable quantitative evidence for the portfolio manager's performance as well as for the evaluation of investment decisions ex post. Based on the idea of the capital asset pricing model proposed by Treynor, Sharpe and Lintner, Treynor developed the first quantitative performance measure intended to rate mutual funds, the Treynor Ratio. Since then, a large number of performance measures with very different characteristics have been developed. In addition to their power of rating investments ex post, their ability to predict future performance has been thoroughly analyzed by Grinblatt & Titman, Brown & Goetzmann, Carhart and others. Besides academia, the driving force behind the development of more sophisticated performance measures has always been the investors. This is understandable, as "the truly poor managers are afraid, the unlucky managers will be unjustly condemned, and the new managers have no track record. Only the skilled (or lucky) managers are enthusiastic." By combining and applying the results of previous research to a new sample of nearly 10,000 mutual funds that invest in different countries and asset classes, this thesis clarifies its central research question: Is the Information Ratio a useful and reliable performance measure? In order to answer this central question, it has been split up into the following sub-parts: What are the characteristics of a useful and reliable performance measure? What actually is "good" performance? Is the "good" performance a result of luck or of skilled decisions and does it persist over time? How does the Information Ratio compare to other performance measures, and what are its strengths and weaknesses? This empirical study aims at answeri
Book Synopsis Investment Performance Measurement by : Philip Lawton, CIPM
Download or read book Investment Performance Measurement written by Philip Lawton, CIPM and published by John Wiley & Sons. This book was released on 2009-05-18 with total page 984 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment Performance Measurement Over the past two decades, the importance of measuring, presenting, and evaluating investment performance results has dramatically increased. With the growth of capital market data services, the development of quantitative analytical techniques, and the widespread acceptance of Global Investment Performance Standards (GIPS®), this discipline has emerged as a central component of effective asset management and, thanks in part to the Certificate in Investment Performance Measurement (CIPM) program, has become a recognized area of specialization for investment professionals. That's why Investment Performance Measurement: Evaluating and Presenting Results the second essential title in the CFA Institute Investment Perspectives series has been created. CFA Institute has a long tradition of publishing content from industry thought leaders, and now this new collection offers unparalleled guidance to those working in the rapidly evolving field of investment management. Drawing from the Research Foundation of CFA Institute, the Financial Analysts Journal, CFA Institute Conference Proceedings Quarterly, CFA Magazine, and the CIPM curriculum, this reliable resource taps into the vast store of knowledge of some of today's most prominent thought leaders from industry professionals to respected academics who have focused on investment performance evaluation for a majority of their careers. Divided into five comprehensive parts, this timely volume opens with an extensive overview of performance measurement, attribution, and appraisal. Here, you'll become familiar with everything from the algebra of time-weighted and money-weighted rates of return to the objectives and techniques of performance appraisal. After this informative introduction, Investment Performance Measurement moves on to: Provide a solid understanding of the theoretical grounds for benchmarking and the trade-offs encountered during practice in Part II: Performance Measurement Describe the different aspects of attribution analysis as well as the determinants of portfolio performance in Part III: Performance Attribution Address everything from hedge fund risks and returns to fund management changes and equity style shifts in Part IV: Performance Appraisal Recount the history and explain the provisions of the GIPS standards with attention paid to the many practical issues that arise in the course of its implementation in Part V: Global Investment Performance Standards Filled with invaluable insights from more than fifty experienced contributors, this practical guide will enhance your understanding of investment performance measurement and put you in a better position to present and evaluate results in the most effective way possible.
Book Synopsis Portfolio Performance Measurement and Benchmarking, Chapter 25 - Equity Style Indexes: Tools for Better Performance Evaluation and Plan Management by : Jon A. Christopherson
Download or read book Portfolio Performance Measurement and Benchmarking, Chapter 25 - Equity Style Indexes: Tools for Better Performance Evaluation and Plan Management written by Jon A. Christopherson and published by McGraw Hill Professional. This book was released on 2009-05-15 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: Here is a chapter from Portfolio Performance Measurement and Benchmarking, which will help you create a system you can use to accurately measure your performance. The authors highlight common mechanical problems involved in building benchmarks and clearly illustrate the resulting fallouts. The failure to choose the right investing performance benchmarks often leads to bad decisions or inaction and, inevitably, lost profits. In this book you will discover a foundation for benchmark construction and discuss methods for all different asset classes and investment styles.
Book Synopsis RiskGrade Your Investments by : Gregory Elmiger
Download or read book RiskGrade Your Investments written by Gregory Elmiger and published by John Wiley & Sons. This book was released on 2003-04-21 with total page 271 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for RiskGrade Your Investments "In the same way that the introduction of RiskMetrics raised the level of the discussion (and sometimes debate) regarding market risk measurement and management at large financial institutions, the introduction of RiskGrades and this book represent a major step in the understanding and application of risk measurement and management techniques by individual investors." -Charles Smithson, Managing Partner, Rutter Associates, and author of Managing Financial Risk What Others Are Saying About RiskGrades.com Forbes' best of the web 2002: "Savvy analysis, all free." "A new and impressive Web-based service that promises to offer a clue to the question of how risky is your portfolio. RiskMetrics has been measuring portfolio risk for big financial institutions since 1994 and now sheds some light on investor risk. RiskGrades helps investors combine risk and return to make proper investment decisions." -BusinessWeek "Owning a high percentage of company stock in a retirement plan--any more than 20 percent--is one of the riskiest propositions in investing, and yet employees almost never measure this risk objectively or reduce their positions. . . . It is easy to approximate investment risk. A useful tool for measuring risk is available through RiskMetrics Group's www.riskgrades.com, a service that will measure the volatility and return of single securities or whole portfolios against all asset classes and international regions." -Financial Times "Without divining what exactly a fund owns, the system simply distills risk down to the likelihood of finding a severe change in its value on a given day. . . . Running a few notable funds through the rating bath can be a useful check on what an investor is putting on the line for a given dollar of investment gains." -Barron's "Mathematicians and economists use complex computer programs to examine the effects of different shocks on different portfolios. Such tests have been used for several years by professionals who manage multimillion-dollar investment funds. But RiskMetrics, a spinoff of J.P. Morgan Chase, is now providing similar tools for individual investors. RiskMetrics runs a Web site, www.riskgrades.com, which investors can use free of charge. The Web site allows investors to stress-test individual stocks and mutual funds as well as portfolios." -The Wall Street Journal
Book Synopsis Portfolio Performance Measurement and Benchmarking, Chapter 20 - Benchmarks and Knowledge by : Jon A. Christopherson
Download or read book Portfolio Performance Measurement and Benchmarking, Chapter 20 - Benchmarks and Knowledge written by Jon A. Christopherson and published by McGraw Hill Professional. This book was released on 2009-05-15 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: Here is a chapter from Portfolio Performance Measurement and Benchmarking, which will help you create a system you can use to accurately measure your performance. The authors highlight common mechanical problems involved in building benchmarks and clearly illustrate the resulting fallouts. The failure to choose the right investing performance benchmarks often leads to bad decisions or inaction and, inevitably, lost profits. In this book you will discover a foundation for benchmark construction and discuss methods for all different asset classes and investment styles.
Book Synopsis Portfolio Performance Meaurement and Benchmarking: Fixed-Income Risk by : Jon A. Christopherson
Download or read book Portfolio Performance Meaurement and Benchmarking: Fixed-Income Risk written by Jon A. Christopherson and published by McGraw Hill Professional. This book was released on 2009-05-15 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: Here is a chapter from Portfolio Performance Measurement and Benchmarking, which will help you create a system you can use to accurately measure your performance. The authors highlight common mechanical problems involved in building benchmarks and clearly illustrate the resulting fallouts. The failure to choose the right investing performance benchmarks often leads to bad decisions or inaction and, inevitably, lost profits. In this book you will discover a foundation for benchmark construction and discuss methods for all different asset classes and investment styles.
Book Synopsis Asset Pricing and Portfolio Performance by : Robert A. Korajczyk
Download or read book Asset Pricing and Portfolio Performance written by Robert A. Korajczyk and published by . This book was released on 1999 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive reference work presenting an original framework for evaluating observed differences in returns across assets.
Book Synopsis Portfolio Performance by : Achimuthu Jeyachitra
Download or read book Portfolio Performance written by Achimuthu Jeyachitra and published by LAP Lambert Academic Publishing. This book was released on 2012-06 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book delineates the Portfolio Performance of BSE Stocks using Multi Factor Model. The Capital Markets are the backbone of the corporate sector because they mobilize sufficient fund required for their development. Every investor, to some extent, is aware of the trade-off between risk-return, but they do not know about what amount of risk is involved in every stock. They do not have deep knowledge about the amount of risk and the kind of risks affecting their investment in particular and market in general. Earning the return in excess of risk free return is not an easy task as number of factors tends to influence the price of stock. Therefore, the study identified the list of significant variables among the alternative measures of risk, other than beta and developed a Multi Factor Model for return on portfolio investment. Further, it explains to the investors how different tools can be used to evaluate the relationship between risk and return associated with every asset and encourages them towards making correct investment decisions. In short, the book explains how returns in Excess of Risk Free Return could be achieved from investments in the Indian Share Market.
Book Synopsis Portfolio Theory and Performance Analysis by : Noel Amenc
Download or read book Portfolio Theory and Performance Analysis written by Noel Amenc and published by John Wiley & Sons. This book was released on 2005-01-21 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: For many years asset management was considered to be a marginal activity, but today, it is central to the development of financial industry throughout the world. Asset management's transition from an "art and craft" to an industry has inevitably called integrated business models into question, favouring specialisation strategies based on cost optimisation and learning curve objectives. This book connects each of these major categories of techniques and practices to the unifying and seminal conceptual developments of modern portfolio theory. In these bear market times, performance evaluation of portfolio managers is of central focus. This book will be one of very few on the market and is by a respected member of the profession. Allows the professionals, whether managers or investors, to take a step back and clearly separate true innovations from mere improvements to well-known, existing techniques Puts into context the importance of innovations with regard to the fundamental portfolio management questions, which are the evolution of the investment management process, risk analysis and performance measurement Takes the explicit or implicit assumptions contained in the promoted tools into account and, by so doing, evaluate the inherent interpretative or practical limits
Book Synopsis Investment Portfolio Selection and Performance Measurement by : Patrick Daum
Download or read book Investment Portfolio Selection and Performance Measurement written by Patrick Daum and published by GRIN Verlag. This book was released on 2012-05-14 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2011 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3, South Bank University London (Business Faculty), course: Fondmanagement , language: English, abstract: Die Arbeit legt die Portfoliotheorie an Hand eine praktischen Beispiels dar. Auf der Basis von 10 Stocks aus dem FTSE 100 wird das optimale Portfolio errechnet und dessen Performance eingeordnet. ++++ According Warren Buffett, financial investors should never purchase a security, if they cannot accept that the value might be cut in half (Schömann-Finck, 2010). One of the most successful global investors has illustrated with this quote the risks involved in the business of financial investments. In order to optimize risk-return tradeoffs, scientific research has developed efficient diversification techniques. This paper examines the process of portfolio diversification based on a sample of 10 randomly selected securities. First the optimal portfolio is identified in order to evaluate its performance against the market trend via industry accepted benchmarking comparison tools in a second step. Finally, potential portfolio gains, achieved via diversification across additional asset classes, are discussed and evaluated. According to Bodie et al. (2008) the investment decision process can be separated into three major steps (see figure 1): Capital Allocation, Asset Allocation and Security Selection. For the purpose of this paper 100% of the available funds are assumed to be allocated into stocks. The portfolio created (see figure 2) consists of 10 randomly selected securities taken from the FTSE 100 index.
Book Synopsis Beating the Market, 3 Months at a Time by : Gerald Appel
Download or read book Beating the Market, 3 Months at a Time written by Gerald Appel and published by FT Press. This book was released on 2008-01-17 with total page 241 pages. Available in PDF, EPUB and Kindle. Book excerpt: “The authors have created a simple, systematic plan that gives investors a long-term edge with minimal effort and reduced risk. They’ve done all the work for you, and it’s rewarding and easy to follow.” –Bob Kargenian, President, TABR Capital Management “There are diamonds in them thar hills’ — but to find investment grade diamonds it pays to have experienced guides. Gerald and Marvin Appel provide a simple but powerful plan for the often complex world of investment opportunities.” –Dr. Alexander Elder, Author of Come Into My Trading Room and Trading for a Living A Complete Roadmap for Investing Like a Pro That Requires Only 1 Hour Every 3 Months The easy way to build a winning portfolio–and keep winning Reduce risk, increase growth, and protect wealth even in tough, volatile markets Absolutely NO background in math or finance necessary! You can do better! You don’t have to settle for “generic” investment performance, and you needn’t delegate your decision-making to expensive investment managers. This book shows how you can quickly and easily build your optimal global portfolio–and then keep it optimized, in just one hour every three months. Top investment managers Gerald and Marvin Appel provide specific recommendations and simple selection techniques that any investor can use–even novices. The Appels’ approach is remarkably simple and requires only one hour of your time every 3 months, but don’t let that fool you: it draws on state-of-the-art strategies currently being used that really work. www.systemsandforecasts.com www.appelasset.com www.signalert.com If you know what to do, active investing can yield far better returns than “buy-and-hold” investing. But conventional approaches to active investing can be highly complex and time-consuming. Finally, there’s a proven, easy-to-use approach: one that’s simple enough for novices, quick enough for anyone, requires no background in math–and works! Gerald and Marvin Appel show you how to identify, and give you specific recommendations for, the best mutual funds, ETFs, bond funds, and international funds. They do not stop there. They demonstrate how you can quickly and easily evaluate each investment’s performance every 3 months, and how to make adjustments to continually optimize the performance of your portfolio. Using their easy to implement strategies, you can achieve better capital growth while reducing risk; profit from new opportunities at home and abroad; make the most of innovative investment vehicles; and protect your assets even in the toughest markets. Improving rates of return while you also reduce risk Setting intelligent investment targets and implementing strategies to meet them Identifying today’s most profitable market sectors... ...and those that will continue to lead Short-term vs. long-term bonds, mature vs. emerging markets What to choose now, and when to switch
Book Synopsis Fund of Funds Investing by : Daniel A. Strachman
Download or read book Fund of Funds Investing written by Daniel A. Strachman and published by John Wiley and Sons. This book was released on 2009-11-13 with total page 275 pages. Available in PDF, EPUB and Kindle. Book excerpt: Valuable guidance on fund of funds investing While capital markets have become more complex, investors are still looking to increase portfolio performance without increasing risk. Fund of funds investing is one such avenue to pursue. This practical guide provides you with the tools needed to understand and evaluate your investments in this often opaque area of finance. In Fund of Funds Investing, hedge fund expert Daniel Strachman and fund of funds manager Richard Bookbinder offer valuable insights into this world through an industry overview and review of essential issues including due diligence, risk and portfolio management, and multi-strategy funds. Outlines strategies that will help you invest directly in a wide range of hedge funds Other titles by Strachman: The Fundamentals of Hedge Fund Management, Essential Stock Picking Strategies, The Long and Short of Hedge Funds, Julian Robertson, and Getting Started in Hedge Funds, Second Edition Based on extensive interviews by the authors as well as their experiences in this field Funds of Funds Investing is an important guide to one of the most misunderstood areas of modern finance.
Book Synopsis Portfolio Performance Measurement and Benchmarking, Chapter 13 - Market Timing by : Jon A. Christopherson
Download or read book Portfolio Performance Measurement and Benchmarking, Chapter 13 - Market Timing written by Jon A. Christopherson and published by McGraw Hill Professional. This book was released on 2009-05-15 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: Here is a chapter from Portfolio Performance Measurement and Benchmarking, which will help you create a system you can use to accurately measure your performance. The authors highlight common mechanical problems involved in building benchmarks and clearly illustrate the resulting fallouts. The failure to choose the right investing performance benchmarks often leads to bad decisions or inaction and, inevitably, lost profits. In this book you will discover a foundation for benchmark construction and discuss methods for all different asset classes and investment styles.
Book Synopsis Portfolio Management in Practice, Volume 1 by : CFA Institute
Download or read book Portfolio Management in Practice, Volume 1 written by CFA Institute and published by John Wiley & Sons. This book was released on 2020-11-11 with total page 1328 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio Management in Practice, Volume 1: Investment Management delivers a comprehensive overview of investment management for students and industry professionals. As the first volume in the CFA Institute’s new Portfolio Management in Practice series, Investment Management offers professionals looking to enhance their skillsets and students building foundational knowledge an essential understanding of key investment management concepts. Designed to be an accessible resource for a wide range of learners, this volume explores the full portfolio management process. Inside, readers will find detailed coverage of: Forming capital market expectations Principles of the asset allocation process Determining investment strategies within each asset class Integrating considerations specific to high net worth individuals or institutions into chosen strategies And more To apply the concepts outlined in the Investment Management volume, explore the accompanying Portfolio Management in Practice, Volume 1: Investment Management Workbook. The perfect companion resource, this workbook aligns chapter-by-chapter with Investment Management for easy referencing so readers can draw connections between theoretical content and challenging practice problems. Featuring contributions from the CFA Institute’s subject matter experts, Portfolio Management in Practice, Volume 1: Investment Management distills the knowledge forward-thinking professionals will need to succeed in today’s fast-paced financial world.
