Principles of Finance · 免费预览
衡量投资业绩
业绩评价依据所承担的风险对投资进行评级：夏普比率将超额收益与总波动率相比较，特雷诺比率将超额收益与系统性风险相比较，詹森 α 则衡量超出 CAPM 所要求水平的收益。
1. Why raw returns mislead
Why raw returns mislead
2. The Sharpe ratio
The Sharpe ratio
3. Treynor and the systematic view
Treynor and the systematic view
4. Choosing and combining the measures
Choosing and combining the measures
5. Why risk adjustment is needed
Why do raw returns mislead when comparing investment performance?
6. Computing the Sharpe ratio
A fund returns 12 percent with 18 percent standard deviation, and the risk-free rate is 4 percent. What is its Sharpe ratio?
7. When Treynor beats Sharpe's ranking
Under what condition will a fund rank better on Treynor than on Sharpe?
8. Computing Jensen's alpha
A fund returns 12 percent, has beta 0.9, the risk-free rate is 4 percent, and the market premium is 6 percent. What is its Jensen's alpha?
9. The skeptical baseline
According to the lesson, what does the efficient markets perspective predict about most funds' Jensen's alphas?
10. Choosing the measure
When is the Treynor ratio the right performance measure?
11. The Sharpe numerator
In the Sharpe ratio, the numerator is the fund's return minus which rate? Answer with two words.
12. The alpha measure's full name
What two-word name, beginning with a surname, grades a fund's return against the CAPM requirement? Answer in lowercase.
13. The Treynor denominator
In the Treynor ratio, excess return is divided by which Greek-letter risk measure? Write the letter's name.
14. The three measures' shared starting point
All three performance measures of this lesson begin with which quantity, the return above the risk-free rate or the total return? Answer with two words.