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MANAJEMEN INVESTASI DAN PORTOFOLIO Lecture 8d: Portfolio Performance Evaluation (additional)

MANAJEMEN INVESTASI DAN PORTOFOLIO Lecture 8d: Portfolio Performance Evaluation (additional). Evaluation of Portfolio Performance. Questions to be answered: What is the information ratio and how is it related to the other performance measures?

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MANAJEMEN INVESTASI DAN PORTOFOLIO Lecture 8d: Portfolio Performance Evaluation (additional)

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  1. MANAJEMEN INVESTASI DAN PORTOFOLIOLecture 8d: Portfolio Performance Evaluation (additional) MIP/MB-IPB/08

  2. Evaluation of Portfolio Performance Questions to be answered: • What is the information ratio and how is it related to the other performance measures? • When evaluating a sample of portfolios, how do you determine how well diversified they are? MIP/MB-IPB/08

  3. Evaluation of Portfolio Performance • What is the bias found regarding the composite performance measures? • What is the Fama portfolio performance measure and what information does it provide beyond other measures? • What is attribution analysis and how can it be used to distinguish between a portfolio manager’s market timing and security selection skills? MIP/MB-IPB/08

  4. Evaluation of Portfolio Performance • What is the Roll “benchmark error” problem, and what are the two factors that are affected when computing portfolio performance measures? • What is the impact of global investing on the benchmark error problem? • What are customized benchmarks? • What are the important characteristics that any benchmark should possess? MIP/MB-IPB/08

  5. Untukmelihat file lengkapnyasilahkanmenghubungikamidiwww.mb.ipb.ac.id

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