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

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

2 MIP/MB-IPB/08 2 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? Evaluation of Portfolio Performance

3 MIP/MB-IPB/08 3 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? Evaluation of Portfolio Performance

4 MIP/MB-IPB/08 4 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? Evaluation of Portfolio Performance

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