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.
In the latest guide from the respected Motley Fool, Selena Maranjian uses simple examples and real-world scenarios to demystify the complexities of finance for beginning and intermediate investors. Through an accessible question-and-answer format, this guide tackles the most common questions about understanding investing and stocks, managing portfolios, and evaluating companies.
In this study, we make use of a complete dataset of property trades by institutional-grade
REITs who are legally mandated to report such trades to the SEC in their 10-K and 10-Q reports,
thus providing both complete trading information and eliminating selection bias. We augment
this information with a dataset of property trades made by portfolio managers of private entities,
such as commingled real-estate funds, who have legally committed to disclose this information to
a private data collector under a strict non-disclosure agreement.
A public pension fund’s decision to invest in emerging domestic markets is driven first
and foremost by its fiduciary duty and overarching mission to achieve competitive financial
returns for its pension fund retirees and beneficiaries. Public pension funds, as with any
institutional fund, seek to outperform the market. Investments targeted to EDM can both
achieve good returns and help overall fund performance by diversifying the pension fund’s
portfolio. A well-diversified portfolio is made up of a spectrum of asset classes as a means of
spreading risk across classes.
In some cases the style of a fund is captured using the returns of
other managed portfolios in the same market sector. The OE port-
folio is then a combination of a manager’s peers’ portfolios. With this
approach the measured performance is a zero-sum game, as the average
performance measured in the peer group must be zero. This approach
can make it easy to control for costs and risks, to the extent that
the portfolio and its peers are similar in these dimensions. In such
cases, the performance diﬀerential can be a relatively clean measure
of value added.
The reverse is true of collection agencies, which provide information to the repositories,
but do not use credit data to evaluate consumer creditworthiness, although they may use
information in credit reports to locate debtors. Repositories also obtain information by
requesting it from public records and government entities and when certain government
entities report directly to the repositories, such as for delinquent child or family support
payments, unpaid parking tickets, or overpayments of unemployment benefits.
The DSS will enable examination of existing conditions, forecasting of future conditions, and simulation of
alternatives that will be ecologically sustaining and socially desired. The DSS will address watershed, water
quality, water quantity, groundwater and ecosystem restoration needs at the small watershed, major
watershed, tributary river, and main stem Minnesota River reach levels of spatial scale. The DSS will
enable forecasting future conditions.
As with every hypothesis test, inference based on alpha estimates can lead to the detection
of a lucky fund, namely a fund with a significant estimated alpha, while its true
alpha is equal to zero. When a single performance test is run on the estimated alpha
of one fund (or one portfolio of funds1), luck is easily controlled by setting the significance
level γ (or alternatively the Size of the test). For instance, if γ is set to 0.05,
the probability of finding one lucky fund under the hypothesis that its alpha is zero
amounts to 0.05, by construction.
Technical Analysts often find a system or technical method that seems
extremely profitable and convenient to follow - one that they think has been
overlooked by the professionals. Sometimes they are right, but most often that
method doesn't work in practical trading or for a longer time.
Technical analysis uses price and related data to decide when to buy and sell.
The methods used can be interpretive as chart patterns and astrology, or as
specific as mathematical formulas and spectral analysis. All factors that
influence the markets are assumed to be netted out as the current price....
This paper provides a review of the methods for measuring portfo-
lio performance and the evidence on the performance of profession-
ally 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 prop-
erties and important problems associated with these measures.
Implementation planning must identify who is accountable for the realisation of benefits – particularly if the
stakeholders concerned are external to departments or agencies. You are encouraged to consult the relevant
policy area of PM&C in developing your approach to this.
Be mindful that the milestones, tracked through the CIU reporting process, will focus on outcomes and
benefits, such as the expected impacts or level of user take-up, as well as the development of products,
services and programmes and their roll-out.
The volume of issuance (sales) and the size of
outstanding structured product portfolios have a material
impact on derivative pricing and spreads. An investment
bank will issue derivatives into the market to construct
portfolios for sellers of these products, creating natural
opportunities for hedge funds to come in on the other side
of the trade. It is common knowledge in investment banks
that hedge funds help to reduce their volatility risk,
providing liquidity in a very complementary way.
The National Institute for Occupational Safety and Health (NIOSH) has
requested that the National Academies, through the National Research
Council (NRC) and the Institute of Medicine (IOM), conduct a series of
reviews of its research portfolio. The charge is discussed in detail in a subsequent
section, but in general it is to evaluate the relevance and impact of a NIOSH research
program and to provide recommendations for future research. This report
contains a review and evaluation of the NIOSH Traumatic Injury (TI) Research
The current financial crisis occurred after a long and remarkable period of growth and
innovation in our financial markets. New financial instruments allowed credit risks to be
spread widely, enabling investors to diversify their portfolios in new ways and enabling
banks to shed exposures that had once stayed on their balance sheets. Through
securitization, mortgages and other loans could be aggregated with similar loans and sold
in tranches to a large and diverse pool of new investors with different risk preferences.
At the same time, nongovernmental organizations (NGOs) that have a permanent consulta-
tive forum with the World Bank (WB), the WB-NGO Committee, identified social funds as the
most significant Bank-supported portfolio of programs that effectively include civil society or-
ganizations in their design, management, and implementation. In the spring of 1996, the com-
mittee requested the Bank’s management to organize an international learning event on social
An animal bite that breaks or punctures the skin has a significant chance of producing a bacterial
infection. If any wild animal or pet bites and breaks the skin, the wound should be evaluated by a
healthcare professional. Animal bites are common and bites of some animals (e.g. stray dogs,
raccoons, bats) may transmit the rabies virus.
Rabies is a very serious viral infection that infects the nervous system. Rabies is transmitted by a
variety of wild animals. The virus can also be spread by unimmunized pets and in rare cases,
immunized pets that have been...
This field started for me in 1987 with a bioelectromagnetics
instrument design portfolio that eventually comprised AC and DC
gaussmeters, geomagnetometers, electrostatic and ion current
meters, ELF spectrum analyzers, and a Dental Vapor Ionizer. I was
privileged to exchange viewpoints with Dr. Robert O. Becker about
the possibility of measuring a brain’s magnetoencephalogram
(MEG) with off-the-shelf high-gain amplifier chips and of course,
the effect of the earth’s Schumann resonance on brain waves....
Municipal bond analysis requires a sophisticated mix of quantitative and qualitative techniques for
trading and management activities. Even though much of the quantitative component is
automated and enriched by a tremendous amount of data, much of the critical buying and selling
decisions are based on individualized, qualitative judgments.
The actual use of formal quantitative portfolio models vary from institution to institution. At one
extreme, typified by rigorous investment constraints, the model recommendations are followed
Chapter 2 - Asset classes and financial investments. In this chapter, we first describe money market instruments. We then move on to debt and equity securities. We explain the structure of various stock market indexes in this chapter because market benchmark portfolios play an important role in portfolio construction and evaluation. Finally, we survey the derivative security markets for options and futures contracts.