Chapter 9
Portfolio Performance
Analytics
Adair | Nofsinger, Foundations of Investments, 1 st Edition. © 2024 Cengage. All Rights Reserved. May not be scanne
copied or duplicated, or posted to a publicly accessible website, in whole or in part.
, Chapter Objectives, 1 of 2
By the end of this chapter, you should be able to:
• LO 9-1 Know how to select a similar fund category and compare
portfolio’s performance with its category.
• LO 9-2 Use Jensen’s alpha and other alpha measures to assess
performance.
• LO 9-3 Utilize the Treynor index to compare portfolio performanc
• LO 9-4 Use the Sharpe ratio to compare portfolio performance.
Adair | Nofsinger, Foundations of Investments, 1 st Edition. © 2024 Cengage. All Rights Reserved. May not be scanne
copied or duplicated, or posted to a publicly accessible website, in whole or in part.
, Chapter Objectives, 2 of 2
• LO 9-5 Understand performance attribution.
• LO 9-6 Assess the impact of security selection.
• LO 9-7 Assess the impact of asset allocation decisions.
• LO 9-8 Know the impact of market timing.
• LO 9-9 Understand the purpose of active investment managemen
Adair | Nofsinger, Foundations of Investments, 1 st Edition. © 2024 Cengage. All Rights Reserved. May not be scanne
copied or duplicated, or posted to a publicly accessible website, in whole or in part.
, Portfolio Performance
• Can only compare performance with similar risk investment
• Want the required return (return to compensate for risk)
• Can the return be higher than the required return?
− Maybe through security selection
− Maybe through asset allocation
− Maybe through market timing (when to invest)
Adair | Nofsinger, Foundations of Investments, 1 st Edition. © 2024 Cengage. All Rights Reserved. May not be scanne
copied or duplicated, or posted to a publicly accessible website, in whole or in part.
Portfolio Performance
Analytics
Adair | Nofsinger, Foundations of Investments, 1 st Edition. © 2024 Cengage. All Rights Reserved. May not be scanne
copied or duplicated, or posted to a publicly accessible website, in whole or in part.
, Chapter Objectives, 1 of 2
By the end of this chapter, you should be able to:
• LO 9-1 Know how to select a similar fund category and compare
portfolio’s performance with its category.
• LO 9-2 Use Jensen’s alpha and other alpha measures to assess
performance.
• LO 9-3 Utilize the Treynor index to compare portfolio performanc
• LO 9-4 Use the Sharpe ratio to compare portfolio performance.
Adair | Nofsinger, Foundations of Investments, 1 st Edition. © 2024 Cengage. All Rights Reserved. May not be scanne
copied or duplicated, or posted to a publicly accessible website, in whole or in part.
, Chapter Objectives, 2 of 2
• LO 9-5 Understand performance attribution.
• LO 9-6 Assess the impact of security selection.
• LO 9-7 Assess the impact of asset allocation decisions.
• LO 9-8 Know the impact of market timing.
• LO 9-9 Understand the purpose of active investment managemen
Adair | Nofsinger, Foundations of Investments, 1 st Edition. © 2024 Cengage. All Rights Reserved. May not be scanne
copied or duplicated, or posted to a publicly accessible website, in whole or in part.
, Portfolio Performance
• Can only compare performance with similar risk investment
• Want the required return (return to compensate for risk)
• Can the return be higher than the required return?
− Maybe through security selection
− Maybe through asset allocation
− Maybe through market timing (when to invest)
Adair | Nofsinger, Foundations of Investments, 1 st Edition. © 2024 Cengage. All Rights Reserved. May not be scanne
copied or duplicated, or posted to a publicly accessible website, in whole or in part.
