Performance evaluation allows us to assess the performance of fund managers going beyond historical returns. In particular, we recognize that risk is an
Performance evaluation allows us to assess the performance of fund managers going beyond historical returns. In particular, we recognize that risk is an
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Performance evaluation allows us to assess the performance of fund managers going beyond historical returns. In particular, we recognize that risk is an
hinportant factor when assessing the performance of fund managers and hence it should be taken into account when evaluating fund managers. However,
there are many measures used to assess this risk adjusted performance.
a. Identify circumstances in which the Sharpe and Treynor indices can provide conflicting fund rankings and discuss why this is the case.
b. Describe Jensen's alpha and the Carhart (1997) model.
c. Describe how the information ratio is calculated and what it attempts to measure.
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