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36 evaluating portfolio performance (performance measurement (without…
36 evaluating portfolio performance
the importance
the fund sponsor's perspective
the investment manager's perspective
the three components
performance measurement
without intraperiod external cash flows
total rate of return
the time-weighted rate of return
the money-weighted rate of return
TWR vs MWR
the linked IRR
annualized return
data quality issues
benchmarks
concept
properties of a valid benchmark
types
absolute
manager universes
broad market indexes
style indexes
factor-model-based
returns-based
custom security-based
building custom security-based benchmarks
critique of manager universes as benchmarks
tests of benchmark quality
systematic biases
tracking error
risk characteristic
coverage
turnover
positive active positions
hedge funds and hedge fund benchmarks
performance attribution
impact equals weight times return
macro attribution overview
macro attribution inputs
policy allocation
benchmark portfolio returns
returns valuations and external cash flows
conducting macro attribution analysis
micro attribution overview
sector weighting / stock selection micro attribution
fundamental factor model micro attribution
fixed-income attribution
performance appraisal
risk-adjusted performance appraisal measures
ex post alpha
treynor measure
sharpe ratio
m2
information ratio
criticisms
quality control charts
interpreting the quality control chart
the practice of performance evaluation
noisiness of performance data
manager continuation policy
manager monitoring
manager review
manager continuation policy as a filter