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Principal Portfolios Performance

2018
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Release : 2018
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Book Synopsis Principal Portfolios Performance by : Jwan Ali

Download or read book Principal Portfolios Performance written by Jwan Ali. This book was released on 2018. Available in PDF, EPUB and Kindle. Book excerpt: This thesis examines the cross-sectional dynamic performance of the US stock markets through Principal Components analysis (PCA). We examine the annual and semi-annual performance, from 1928 to 2015, of the portfolios obtained from the top five principal components from past returns. These capture seventy percent of the variation in assets returns. The first principal component has over ninety percent annual correlation with the market. The second, third, fourth and fifth principal components have persistent characteristics different from the market. A Sharpe Ratio of 0.79 and maximum drawdown of 0.27 could be obtained by investing in a combination of the principal portfolios, compared to a Sharpe ratio of 0.40 for the market and a maximum drawdown of 0.80. The four-factors (market, size, value and momentum) and betting against Beta regressions show a significantly positive alpha, whence portfolio performance cannot be explained by these factors. Importantly, the composite portfolios exposure to industry sectors that are most affected by downturns tends to decline before the downturns take place.

Principal Portfolios

2020
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Release : 2020
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Book Synopsis Principal Portfolios by : Bryan T. Kelly

Download or read book Principal Portfolios written by Bryan T. Kelly. This book was released on 2020. Available in PDF, EPUB and Kindle. Book excerpt: We propose a new asset-pricing framework in which all securities' signals are used to predict each individual return. While the literature focuses on each security's own-signal predictability, assuming an equal strength across securities, our framework is flexible and includes cross-predictability--leading to three main results. First, we derive the optimal strategy in closed form. It consists of eigenvectors of a "prediction matrix,” which we call "principal portfolios.” Second, we decompose the problem into alpha and beta, yielding optimal strategies with, respectively, zero and positive factor exposure. Third, we provide a new test of asset pricing models. Empirically, principal portfolios deliver significant out-of-sample alphas to standard factors in several data sets.

Practical Portfolio Performance Measurement and Attribution

2011-02-23 Business & Economics
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Release : 2011-02-23
Genre : Business & Economics
Kind : eBook
Book Rating : 477/5 ( reviews)

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Book Synopsis Practical Portfolio Performance Measurement and Attribution by : Carl R. Bacon

Download or read book Practical Portfolio Performance Measurement and Attribution written by Carl R. Bacon. This book was released on 2011-02-23. Available in PDF, EPUB and Kindle. Book excerpt: Performance measurement and attribution are key tools in informing investment decisions and strategies. Performance measurement is the quality control of the investment decision process, enabling money managers to calculate return, understand the behaviour of a portfolio of assets, communicate with clients and determine how performance can be improved. Focusing on the practical use and calculation of performance returns rather than the academic background, Practical Portfolio Performance Measurement and Attribution provides a clear guide to the role and implications of these methods in today's financial environment, enabling readers to apply their knowledge with immediate effect. Fully updated from the first edition, this book covers key new developments such as fixed income attribution, attribution of derivative instruments and alternative investment strategies, leverage and short positions, risk-adjusted performance measures for hedge funds plus updates on presentation standards. The book covers the mathematical aspects of the topic in an accessible and practical way, making this book an essential reference for anyone involved in asset management.

The Principal Portfolio

2001-02-22 Business & Economics
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Release : 2001-02-22
Genre : Business & Economics
Kind : eBook
Book Rating : 001/5 ( reviews)

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Book Synopsis The Principal Portfolio by : Genevieve Brown

Download or read book The Principal Portfolio written by Genevieve Brown. This book was released on 2001-02-22. Available in PDF, EPUB and Kindle. Book excerpt: This resource shows how a portfolio can help administrators and principals engage in the reflection and continued growth necessary to create improved schools and learning. It contains hands-on, practical information on how to develop and use the portfolio to document growth, demonstrate the accomplishment of goals, and enhance performance and career advancement. This revised edition features a new section on electronic portfolios and contains expanded information on using portfolios for professional development and evaluation. There is a new focus on academic growth in administrator preparation. The chapters are: (1) "The Principal Portfolio: Why It's Needed"; (2) "What Is Included in the Principal Portfolio?"; (3) "The Principal Portfolio for Professional Growth"; (4) "The Principal Portfolio for Evaluation"; and (5) "The Principal Portfolio for Career Advancement." (Contains 18 figures and 46 references.) (SLD)

Portfolio Performance Evaluation

2008 Financial risk management
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Release : 2008
Genre : Financial risk management
Kind : eBook
Book Rating : 825/5 ( reviews)

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Book Synopsis Portfolio Performance Evaluation by : George O. Aragon

Download or read book Portfolio Performance Evaluation written by George O. Aragon. This book was released on 2008. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a review of the methods for measuring portfolio performance and the evidence on the performance of professionally managed investment portfolios. Traditional performance measures, strongly influenced by the Capital Asset Pricing Model of Sharpe (1964), were developed prior to 1990. We discuss some of the properties and important problems associated with these measures. We then review the more recent Conditional Performance Evaluation techniques, designed to allow for expected returns and risks that may vary over time, and thus addressing one major shortcoming of the traditional measures. We also discuss weight-based performance measures and the stochastic discount factor approach. We review the evidence that these newer measures have produced on selectivity and market timing ability for professional managed investment funds. The evidence includes equity style mutual funds, pension funds, asset allocation style funds, fixed income funds and hedge funds.

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