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Trading and Money Management in a Student-Managed Portfolio by Jason Greene, Brian Bruce

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Chapter 6

Performance Evaluation

Portfolio performance is the ultimate output of an investment management organization. As such, portfolio performance must be reported in a standardize way using precise and transparent methods. Portfolio performance must also be evaluated and analyzed to provide insight into the overall portfolio returns. This chapter covers both performance reporting and performance evaluation and analysis for student-managed investment funds. Performance attribution uses portfolio holdings to attribute portfolio returns and relative returns into components due to allocation to asset classes or categories and security selection. Returns-based analysis in the form of multifactor models is used to examine both sources of average ...

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