Microsoft PowerPoint - PoF.ppt

Performance measurementƒ 68

The CAPM is often used as benchmark for portfolio performance.

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Assumption:

Pricing structure in the market is that of

our standard CAPM!

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The fund manager has done well when she beats

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the SML (Jensen index, Treynor Index) and / or

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the CML (Sharpe ratio, M² measure).

Single-period random cash flows:

CAPM - Performance measurement