MANAJEMEN INVESTASI
DAN PORTOFOLIO
Lecture 8d: Portfolio Performance
Evaluation (additional)
MIP/MB-IPB/08
1
Evaluation of Portfolio Performance
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?
MIP/MB-IPB/08
2
Evaluation of Portfolio Performance
• 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?
MIP/MB-IPB/08
3
Evaluation of Portfolio Performance
• 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?
MIP/MB-IPB/08
4
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