券和组合课后习题答案：sm26.docxVIP

CHAPTER 26 EVALUATION OF PORTFOLIO PERFORMANCE Answers to Questions 2.1. The two major factors would be: (1) attempt to derive risk-adjusted returns that exceed a naive buy-and-hold policy and (2) completely diversify - i.e., eliminated all unsystematic risk from the portfolio. A portfolio manager can do one or both of two things to derive superior risk-adjusted returns. The first is to have superior timing regarding market cycles and adjust your portfolio accordingly. Alternatively, one can consistently select undervalued stocks. As long as you do not make major mistakes with the rest of the portfolio, these actions should result in superior risk-adjusted returns. 2. Treynor (1965) divided a fimds excess return (return less risk-free rate) by its beta. For a fund not completely diversified, Treynors T” value will understate risk and overstate performance. Sharpe (1966) divided a fiinds excess return by its standard deviation. Sharpes S” value will produce evaluations very similar to Treynors fbr funds that are well diversified. Jensen (1968) measures performance as the difference between a fundus actual and required returns. Since the latter return is based on the CAPM and a fimds beta, Jensen makes the same implicit assumptions as Treynor ? namely, that funds are completely diversified. The information ratio (IR) measures a portfolios average return in excess of that of a benchmark, divided by the standard deviation of this excess return. For portfolios with R2 values noticeably less than 1.0, it would make sense to compute both measures. Differences in the rankings generated by the two measures would suggest less-than-complete diversification by some funds ? specifically, those that were ranked higher by Treynor than by Sharpe. Jensens alpha (a) is found from the equation Rjt - RFRt =二 otj + Pj[Rmt - RFRt] +ejt. The aj indicates whether a manager has superior (% 0) or inferior (ccj 0) ability in market timing or stock selection, or both. As suggested above, Jen