A review of performance evaluation measures for actively-managed portfolios

Simple item page
dc.contributor.authorHsieh, Heng-Hsing
dc.date.accessioned2017-02-28T12:35:50Z
dc.date.available2017-02-28T12:35:50Z
dc.date.issued2013
dc.description.abstractIn the recognition that investment management is an on-going process, the performance of actively-managed portfolios need to be monitored and evaluated to ensure that funds under management are efficiently invested in order to satisfy the mandate specified in the policy statement. This paper discusses the primary performance evaluation techniques used to measure a portfolio's basic risk and return characteristics, risk-adjusted performance, performance attribution and market timing ability. It is concluded that the Treynor measure is more suitable for evaluating portfolios that are constituents of a broader portfolio, while the information ratio is useful for evaluating hedge funds with an absolute return objective. Although the Sharpe ratio and M-squared arrive at the same evaluation result, M-squared provides a direct comparison between the portfolio and the benchmark. With regard to the analysis of portfolio performance attribution, it is found that the return-based multifactor model of Sharpe (1992) is not suitable for analyzing the performance of hedge funds that engage in short-selling, leverage and derivatives. Additional factors generated by factor analysis could be used as factors in the extended model of Sharpe (1992) to analyze hedge fund return attributions. Finally, the Treynor and Mazuy (1966) model and the Henriksson and Merton (1981) model essentially distinguish the market timing ability from the security selection ability of the portfolio manager.en_US
dc.description.accreditationInternational Bibliography of Social Sciences
dc.identifier.citationHsieh, H-H. (2013). A review of performance evaluation measures for actively-managed portfolios. Journal of Economics and Behavioral Studies, 5(12): 815-824en_US
dc.identifier.issn2220-6140
dc.identifier.urihttp://hdl.handle.net/10566/2582
dc.identifier.urihttps://ifrnd.org/journal/index.php/jebs/article/view/455
dc.language.isoenen_US
dc.publisherIFRDen_US
dc.rightsThis work is licensed under a Creative Commons Attribution 4.0 International License
dc.subjectPerformance evaluation measuresen_US
dc.subjectPerformance attributionen_US
dc.subjectPortfolio managementen_US
dc.subjectManagementen_US
dc.titleA review of performance evaluation measures for actively-managed portfoliosen_US
dc.typeArticleen_US

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
Hsieh_ A review of performance_2013.pdf
Size:
760.9 KB
Format:
Adobe Portable Document Format
Description:
Download

Collections

Research Articles (Business and Finance)