摘要: The purpose of portfolio performance measurement is to assess how well a fund manager has performed relative benchmark. In order do this, we need calculate the ex post returns on and then adjust these for risk exposure assumed by manager. These risk-adjusted can be compared against We also identify principal sources manager's performance, namely return from market timing stock selection. Keywords: performance measurement; time-weighted rate return; money-weighted return; alpha; beta; Sharpe measure; Treynor measure; Jensen measure; Fama decomposition
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