Investment Performance Evaluation and Attribution – Measurements of Portfolio Performance for Savvy Investors

 

Audience: All Levels
Duration: 4 hours
Location: Miami Business School, University of Miami

Overview

Investment performance evaluation plays an important part in portfolio management. This module details how performance should be measured and evaluated against proper benchmarks. We analyze the concept of a benchmark and discuss the features a benchmark should carry. Based on an appropriate benchmark, we evaluate portfolio performance attribution and conduct performance appraisal. Additionally, we statistically analyze whether the performance of an investor is due to skill or to luck.

The module specifically addresses the following elements:
  1. What was the portfolio’s performance?
  2. Why did the portfolio produce the observed performance?
  3. Was the portfolio’s performance due to luck or skill?

These questions are answered by performance measurement, performance attribution, and performance appraisal, respectively. In addition, the module covers five risk-adjusted performance measures commonly used in Wall-Street asset managers.

The module can benefit sophisticated savvy investors who not only at least partly make their own investment decisions, but also would like to understand their investment outcome relative to proper market benchmarks. The training allows investors to easily identify their strengths and weaknesses in their individual stock and sector selections in their investment strategies.

Faculty


Tie Su

Dr. Tie Su, CFA, Department of Finance, Associate Professor, Finance

Research Interests - Option pricing and hedging; asset valuation; and market microstructure

Featured Publications –

“Weak and Semi-Strong Form Stock Return Predictability Revisited,” (with Wayne Ferson and Andrea Heuson), Management Science

"Discretionary Reductions in Warrant Exercise Prices," Journal of Financial Economics (coauthor with Howe)

"How the Equity Market Responds to Unanticipated Events," Journal of Business (coauthor with Patel and Brooks)

"A Simple Cost Reduction Strategy for Liquidity Traders: Trade at the Opening," Journal of Financial and Quantitative Analysis (coauthor with Brooks)
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