Chap 23 Flashcards
It quantifies the degree to which a manager has added value relative to the market given the portfolio’s systematic risk.
Jensen’s alpha
It measures the performance of the portfolio as experienced by the investor.
dollar-weighted return
These are the best-known type of benchmark portfolios. They are designed to measure the movements of specified markets, rather than benchmark performance.
composite market index
It is the collection of portfolios that form the basis for comparison in performance evaluation.
comparison universe
The primary purpose of this is to set a realistic, attainable performance standard.
benchmark portfolio
It is created statistically using multiple-regression analysis.
Sharpe benchmark
It is a measure of the average excess return per unit of risk. Risk is measured by the portfolio’s beta.
Treynor ratio
It involves the calculation of the return realized by a portfolio over a specific period.
Performance measurement
It is a specialized benchmark that includes all the securities that a manager normally selects from.
normal portfolio
It measures the excess average return per unit of total risk for a given period. Total risk is measured as the standard deviation of returns.
Sharpe ratio
It measures only the cumulative performance of the portfolio’s investments.
time-weighted return
It is an assessment of how well a portfolio has done over the evaluation period.
Performance appraisal
