Methods for Portfolio Performance Evaluation
Lalith P. Samarakoon () and
Tanweer Hasan ()
Additional contact information
Lalith P. Samarakoon: University of St. Thomas
Tanweer Hasan: Independent University of Bangladesh
Chapter 35 in Encyclopedia of Finance, 2022, pp 983-990 from Springer
Abstract:
Abstract The portfolio performance evaluation involves the determination of how a managed portfolio has performed relative to some comparison benchmark. Performance evaluation methods generally fall into two categories, namely conventional and risk-adjusted methods. The most widely used conventional methods include benchmark comparison and style comparison. The risk-adjusted methods adjust returns in order to take account of differences in risk levels between the managed portfolio and the benchmark portfolio. The major such methods are the Sharpe ratio, Treynor ratio, Jensen’s alpha, Modigliani and Modigliani, and Treynor Squared. The risk-adjusted methods are preferred to the conventional methods.
Keywords: Performance; Evaluation; Standard deviation; Systematic risk; Conventional methods; Benchmark comparison; Style comparison; Risk-adjusted measures; Sharpe measure; Treynor measure; Jensen measure; Alpha; Modigliani-Modigliani measure; Treynor squared (search for similar items in EconPapers)
Date: 2022
References: Add references at CitEc
Citations:
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-91231-4_35
Ordering information: This item can be ordered from
http://www.springer.com/9783030912314
DOI: 10.1007/978-3-030-91231-4_35
Access Statistics for this chapter
More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().