Question
Using benchmark, all annualized SP 500 SHSZ300 Raw return 0.130163 0.083747 Active return -0.06161 -0.0152 Tracking error 0.156428 0.21576 Sharpe ratio 0.263759 0.263759 Information ratio
Using benchmark, all annualized
SP 500 SHSZ300
Raw return 0.130163 0.083747
Active return -0.06161 -0.0152
Tracking error 0.156428 0.21576
Sharpe ratio 0.263759 0.263759
Information ratio -0.39389 -0.07045
Jensen's alpha -0.07459 0.014128
M2 -0.09173 -0.0262
Discuss what these performance metrics tell you about how well the portfolio did over the last 3 years.
Which benchmark better represents your portfolio?
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Foundations of Financial Management
Authors: Stanley Block, Geoffrey Hirt, Bartley Danielsen
16th edition
125927716X, 978-1259687969, 1259687961, 978-1259277160
