This document discusses the importance of selecting an appropriate benchmark for evaluating investment performance. It explains that benchmarks should reflect the portfolio's strategy, asset allocation, and investment options. For multi-asset portfolios, the benchmark is typically constructed by combining various market indices weighted to represent the portfolio. Static benchmarks keep index weights constant to assess asset allocation decisions, while dynamic benchmarks adjust weights to evaluate individual managers. In summary, selecting the right benchmark is key to understanding what a portfolio's performance is communicating about the manager's investment decisions.
by G-10
For downloading this contact- bikashkumar.bk100@gmail.com
Prepared by Students of University of Rajshahi
Rasik Rownak Hossain
Shakib Fardous
Md. Rakibul Islam
Effat Ara Saima
Rafia Sultana
Tanvir Ahmed
Md.Shahidul Islam
SK Shourov Ahemmed
Tamjedul Alam Evan
Romana Haque Saima
Sarkar Muhammad Shohag
Khademul Islam
Jannatul Ferdous
Sheikh Hamim Hasan
Toufique Ul Haque Tuhin
Kerobin Hasda
by G-10
For downloading this contact- bikashkumar.bk100@gmail.com
Prepared by Students of University of Rajshahi
Rasik Rownak Hossain
Shakib Fardous
Md. Rakibul Islam
Effat Ara Saima
Rafia Sultana
Tanvir Ahmed
Md.Shahidul Islam
SK Shourov Ahemmed
Tamjedul Alam Evan
Romana Haque Saima
Sarkar Muhammad Shohag
Khademul Islam
Jannatul Ferdous
Sheikh Hamim Hasan
Toufique Ul Haque Tuhin
Kerobin Hasda
significance of market timing and stock selection ability of mutual fund mana...professionalpanorama
A Mutual Fund is a trust that pools the savings of a number of investors
who share a common financial goal. The money thus collected is invested
by the fund manager in different types of securities depending upon the
objectives of the scheme. Mutual funds cannot guarantee a fixed rate of
return. It depends on the market condition. If a particular scheme is
performing well then more return can be expected. It also depends on the
fund managers’ expertise and knowledge. The present study is aimed to
examine the performance of mutual fund managers on the basis of
selectivity and market timing abilities in security market. However, the
majority of the selected mutual fund managers do not possess market
timing ability rather they are relying a little bit on stock selection.
Significance of market timing and stock selection ability of mutual fund mana...Tapasya123
A Mutual Fund is a trust that pools the savings of a number of investors
who share a common financial goal. The money thus collected is invested
by the fund manager in different types of securities depending upon the
objectives of the scheme. Mutual funds cannot guarantee a fixed rate of
return. It depends on the market condition. If a particular scheme is
performing well then more return can be expected. It also depends on the
fund managers’ expertise and knowledge. The present study is aimed to
examine the performance of mutual fund managers on the basis of
selectivity and market timing abilities in security market. However, the
majority of the selected mutual fund managers do not possess market
timing ability rather they are relying a little bit on stock selection.
The CTA industry has faced prolonged periods of negative returns, ongoing redemptions, declining revenues and mounting expenses. Is the tide ever going to shift? What if it doesn't?
This presentation provides an overview of the Managed Futures sector past and present and explores several ways to unlock value in 2014.
Highlights:
• Larger firms continue to gather assets, yet smaller firms are seeing record outflows
• Do investors really understand the strategy?
• Do investors understand your capabilities?
• Importance of developing new products and distribution channels
• Positioning the firm for the future
These are just a few of the topics covered in our presentation. We would like to invite you to join the discussion and share your thoughts.
This is a risk control system that allows investors to design futures trading strategies, which generate returns with pre-defined statistical properties. It also allows modeling the correlation between the returns of the trading strategy and the returns of other assets thus enabling to create the perfect diversifier. The reserve assets can be chosen from a wide variety of underlyings. The strategy allows for tactical input through the choice of futures contracts to trade. The composition of futures portfolio can be changed whenever and as often as needed, thereby incorporating any tactical views of the fund manager. From a tactical point of view, this strategy is as active or passive as the fund manager needs it to be.
By construction, returns are drawn from the desired distribution and, forward-looking, will therefore have the targeted properties.
A Study on the Performance of Mutual Fund Scheme in IndiaIJAEMSJORNAL
A mutual fund is a trust that encompasses the savings of a number of investors who share a common financial goal. The money thus collected is then invested in capital market instruments such as shares, debentures and other securities. The income earned through these investments and the capital appreciation realized is shared by its unit holders in proportion to the number of units owned by them. Thus, Mutual Fund is one of the most effective instruments for the small & medium investors for investment and offers opportunity to them to participate in capital market with low level of risk. It also provides the facility of diversification i.e. investors can invest across different types of schemes. Indian Mutual Fund has achieved a lot of popularity since last two decades. For a long time UTI enjoyed the monopoly in mutual fund industry. But with the passage of time many new players came in the market and thus the mutual fund industry faces a lot of competition. Now a day this industry has become the major player of the financial system. Therefore it becomes important to investigate the mutual fund performance at continuous basis. The wide variety of schemes floated by these mutual fund companies gave wide investment choice for the investors. Among wide variety of funds equity, diversified fund is considered as substitute for direct stock market investment. In present paper an attempt has been made to investigate the performance of the open ended, growth oriented, equity diversified schemes on the basis of return and risk evaluation. The analysis was achieved by assessing various financial tests like Average Return, Standard Deviation, Beta, Coefficient of Determination (R2), Alpha, Sharpe Ratio and Treynor Ratio whose results will be useful for investors for taking better investment decisions. The data has been taken from various websites of mutual fund schemes and from amfiindia.com. The analysis depicts that majority of funds selected for study have outperformed under Sharpe Ratio as well as Treynor Ratio.
Through examining their nature and mechanisms, identifying their spin-offs and analyzing their performance, this presentation is designed to discuss what to look out for when conduct due diligence on different hedge fund strategies.
Important issues relating to equity portfolio management. Active and passive management strategies are explained in brief along with the text book of Reilly and Brown.
by-group 9
For downloading this contact- bikashkumar.bk100@gmail.com
Prepared by Students of University of Rajshahi
Md. Imran Hossain
Rima Binte Rahamot
F.M. Alimuzzaman
Md.Sultan Mahmud
Md. Al-Amin
Robiul IsLAm
Tamanna Toma
Md. Junayed Hossain
Yousuf Chowdhury
Md. Roxy Hossain
noorulhadi Lecturer at Govt College of Management Sciences, noorulhadi99@yahoo.com
i have prepared these slides and still using in mylectures, Reference: Portfolio management by S kevin and online sources
significance of market timing and stock selection ability of mutual fund mana...professionalpanorama
A Mutual Fund is a trust that pools the savings of a number of investors
who share a common financial goal. The money thus collected is invested
by the fund manager in different types of securities depending upon the
objectives of the scheme. Mutual funds cannot guarantee a fixed rate of
return. It depends on the market condition. If a particular scheme is
performing well then more return can be expected. It also depends on the
fund managers’ expertise and knowledge. The present study is aimed to
examine the performance of mutual fund managers on the basis of
selectivity and market timing abilities in security market. However, the
majority of the selected mutual fund managers do not possess market
timing ability rather they are relying a little bit on stock selection.
Significance of market timing and stock selection ability of mutual fund mana...Tapasya123
A Mutual Fund is a trust that pools the savings of a number of investors
who share a common financial goal. The money thus collected is invested
by the fund manager in different types of securities depending upon the
objectives of the scheme. Mutual funds cannot guarantee a fixed rate of
return. It depends on the market condition. If a particular scheme is
performing well then more return can be expected. It also depends on the
fund managers’ expertise and knowledge. The present study is aimed to
examine the performance of mutual fund managers on the basis of
selectivity and market timing abilities in security market. However, the
majority of the selected mutual fund managers do not possess market
timing ability rather they are relying a little bit on stock selection.
The CTA industry has faced prolonged periods of negative returns, ongoing redemptions, declining revenues and mounting expenses. Is the tide ever going to shift? What if it doesn't?
This presentation provides an overview of the Managed Futures sector past and present and explores several ways to unlock value in 2014.
Highlights:
• Larger firms continue to gather assets, yet smaller firms are seeing record outflows
• Do investors really understand the strategy?
• Do investors understand your capabilities?
• Importance of developing new products and distribution channels
• Positioning the firm for the future
These are just a few of the topics covered in our presentation. We would like to invite you to join the discussion and share your thoughts.
This is a risk control system that allows investors to design futures trading strategies, which generate returns with pre-defined statistical properties. It also allows modeling the correlation between the returns of the trading strategy and the returns of other assets thus enabling to create the perfect diversifier. The reserve assets can be chosen from a wide variety of underlyings. The strategy allows for tactical input through the choice of futures contracts to trade. The composition of futures portfolio can be changed whenever and as often as needed, thereby incorporating any tactical views of the fund manager. From a tactical point of view, this strategy is as active or passive as the fund manager needs it to be.
By construction, returns are drawn from the desired distribution and, forward-looking, will therefore have the targeted properties.
A Study on the Performance of Mutual Fund Scheme in IndiaIJAEMSJORNAL
A mutual fund is a trust that encompasses the savings of a number of investors who share a common financial goal. The money thus collected is then invested in capital market instruments such as shares, debentures and other securities. The income earned through these investments and the capital appreciation realized is shared by its unit holders in proportion to the number of units owned by them. Thus, Mutual Fund is one of the most effective instruments for the small & medium investors for investment and offers opportunity to them to participate in capital market with low level of risk. It also provides the facility of diversification i.e. investors can invest across different types of schemes. Indian Mutual Fund has achieved a lot of popularity since last two decades. For a long time UTI enjoyed the monopoly in mutual fund industry. But with the passage of time many new players came in the market and thus the mutual fund industry faces a lot of competition. Now a day this industry has become the major player of the financial system. Therefore it becomes important to investigate the mutual fund performance at continuous basis. The wide variety of schemes floated by these mutual fund companies gave wide investment choice for the investors. Among wide variety of funds equity, diversified fund is considered as substitute for direct stock market investment. In present paper an attempt has been made to investigate the performance of the open ended, growth oriented, equity diversified schemes on the basis of return and risk evaluation. The analysis was achieved by assessing various financial tests like Average Return, Standard Deviation, Beta, Coefficient of Determination (R2), Alpha, Sharpe Ratio and Treynor Ratio whose results will be useful for investors for taking better investment decisions. The data has been taken from various websites of mutual fund schemes and from amfiindia.com. The analysis depicts that majority of funds selected for study have outperformed under Sharpe Ratio as well as Treynor Ratio.
Through examining their nature and mechanisms, identifying their spin-offs and analyzing their performance, this presentation is designed to discuss what to look out for when conduct due diligence on different hedge fund strategies.
Important issues relating to equity portfolio management. Active and passive management strategies are explained in brief along with the text book of Reilly and Brown.
by-group 9
For downloading this contact- bikashkumar.bk100@gmail.com
Prepared by Students of University of Rajshahi
Md. Imran Hossain
Rima Binte Rahamot
F.M. Alimuzzaman
Md.Sultan Mahmud
Md. Al-Amin
Robiul IsLAm
Tamanna Toma
Md. Junayed Hossain
Yousuf Chowdhury
Md. Roxy Hossain
noorulhadi Lecturer at Govt College of Management Sciences, noorulhadi99@yahoo.com
i have prepared these slides and still using in mylectures, Reference: Portfolio management by S kevin and online sources
How Investment Analysis & Portfolio Management greatly focuses on portfolio c...QUESTJOURNAL
Abstract: Portfolio Construction is a capstone elective that draws on previously studied investment principles, theories and techniques. Its enable synthesize that acquired financial theories and knowledge in the context of portfolio construction and asset allocation. It focuses on gaps in theory and how they can be managed in practice.
Investing makes it possible for many of us to achieve important lifetime goals, such as retirement. That’s why we employ an investment approach based on almost nine decades of data, analysis and research, insights from behavioral finance and close relationships with leading academics. There are four key concepts which play a vital role in the construction and management of our portfolios. Together, they add up to a distinctive long-term, approach we call Asset Class, or evidence-based, Investing
A key part of active investment management, stock picking denotes the process of an analyst or investor qualifying a particular stock as a good investment and including it in the investment portfolio after conducting a systematic analysis. Contingent upon the analyst or investor’s perspective on the stock’s price, they may opt for a long or short position. A long position relates to when investors buy stocks that they expect to increase their value, while a short position refers to when investors sell stocks they don't own intending to repurchase them at a lower price in the future.
Actively managed funds employ teams of investment analysts who perform stock picks and continuously rearrange the portfolio following changes in the market conditions and the company. They can choose from several strategies to do so. For example, they can opt for a bottom-up or top-down strategy. The first analyzes the stocks focusing on an individual company’s performance, like revenue or earnings, as opposed to the overall economy or industry situation.
1. What Is My Benchmark Telling Me?
A Guide to Investment Performance Benchmarks
2.
3. 1
What Is My Benchmark Telling Me?
Charitable remainder trusts allow donors to achieve their philanthropic goals while
also receiving income during their lifetime. Upon the donor’s death, the remaining
asset value is transferred to the charitable remainder beneficiary organization.
Donors are often concerned with the level of income they receive during the
term of the trust, while the charity’s long-term interest is in the remainder value.
Given this “split interest,” the objective for managing a charitable remainder
trust investment portfolio is often a combination of growth, to help maximize the
remainder value of the gift, and income, to support the recurring payments to the
beneficiaries. In order to meet these objectives, most planned giving portfolios
include both equity and fixed income securities.
Selecting a benchmark for a portfolio that invests in a single asset class is
relatively straightforward. For example, a portfolio invested in U.S. small cap
stocks should be benchmarked against the Russell Small Cap Index, which tracks
the universe of domestic small cap stocks. The performance of a portfolio of
emerging market debt should be measured against a broad index of emerging
market debt, such as the JP Morgan Emerging Markets Bond Index. For a multi-
asset class portfolio, however, the construction of a customized benchmark
requires additional consideration in order to capture the performance of the
manager in each asset class as well as decisions about how to allocate capital
across various asset classes.
Your trust’s investment portfolio outperformed its benchmark by 1.5% in the most
recent period. Terrific performance, yes? Maybe. It depends on whether a given
benchmark is appropriate for a portfolio’s investment strategy and allocation.
Investors in today’s environment must establish and construct their benchmarks
with care. While there is no single best approach to constructing a benchmark,
investors need to understand what questions can be answered—and what
questions can’t—by comparing investment performance to a benchmark.
4. 2
What Is My Benchmark Telling Me?
According to the CFA Institute, there are a few guidelines that should be observed
in the benchmarking process. First, the benchmark should be established before
the start of the investment period. Allowing a portfolio manager to select a
benchmark at the end of the period would permit the choice of a benchmark
showing the most favorable comparison. Second, the benchmark chosen
should be appropriate for the portfolio management style and reflect current
investment options. If the portfolio manager will be investing in large and small
cap stocks, then the S&P 500 index would be a poor benchmark, as it captures the
performance of only large cap stocks. Selecting a benchmark not aligned with the
investment allocation reduces the ability to measure the success of the portfolio
manager’s decisions. As we will discuss shortly, different indices should be
combined in a way that captures what the institution would like to measure. Most
importantly, the portfolio’s benchmark should be clearly understood by both the
investment manager and the investor or institution.
A benchmark for a multi-asset class portfolio combines several market indices
and weights them to create an aggregate blended benchmark for measuring the
performance of the entire portfolio. A key consideration is the degree of specificity
in the benchmark to capture both asset classes and sub-asset classes. One
choice is to construct a benchmark from indices that capture broad asset classes,
i.e., equity, fixed income, and alternative investments. If your portfolio’s equity
component beats its equity index over a long time period, then the manager can be
credited with good asset allocation decisions within the broad equity asset class.
Alternatively, the benchmark could combine indices that measure “sub-asset
classes”—large cap equity, mid cap equity, small cap equity, emerging market
equity, etc. Combining a larger number of indices permits measurement of the
performance of each constituent part of the portfolio, i.e., “How did the Emerging
Markets Debt manager do relative to the Emerging Markets debt index?”
When selecting the underlying indices it is important to bear in mind how each
index is constructed. There are two primary ways indices are constructed—
market capitalization weighted, and price weighted. A market-cap weighted
index will be skewed towards the performance of the largest capitalization
companies in the index. So in today’s S&P 500 index, the performance of the
index’s largest market cap stock, Apple (AAPL), has a greater impact on the
performance of the index than a smaller market cap stock in the index. A price-
weighted index, such as the Dow Jones Industrial Average, weights its constituent
stocks based on their prices. For example, a Dow stock trading at $50 has five
times the weight of a $10 stock.
5. 3
What Is My Benchmark Telling Me?
Key Considerations for Some of the Most Widely Used Indices
Standard & Poor’s 500 Index
This is a market-value weighted index that comprises 500 large cap U.S. stocks.
Pros: Familiarity of the index. It is easy to purchase low-cost funds that track the
index’s performance.
Con: Does not include small cap stocks.
Dow Jones Industrial Average Index
This is a price-weighted index composed of 30 large cap primarily manufacturing
companies.
Pros: Familiarity of the index, ease of access to performance data, long history
dating back to 1928.
Con: The index is not an accurate representation of the broader economy or stock
market.
MSCI All Country World Index
A market-cap weighted index comprising large, mid, and small cap stocks across
the U.S. (45% of the index), developed international countries (38%) and emerging
markets (17%).
Pros: Single index solution for an equity portfolio that invests around the globe.
Investors can purchase ETFs tracking the index for low relative cost.
Cons: The owner of the index, Morgan Stanley, charges licensing fees to see the
index components. The index may not be in line with the portfolio manager’s equity
asset allocation.
Barclay’s Capital Aggregate Bond Index
Market cap weighted fixed income index of investment grade securities.
Pros: Provides broad representation of the fixed income market, recognized as the
primary U.S. fixed income benchmark by most investment professionals.
Cons: The index does not include municipal bonds, Treasury Inflation-Protected
Securities (TIPs), or below investment grade securities.
6. 4
What Is My Benchmark Telling Me?
To measure the effectiveness of asset
allocation decisions, hold index weights
constant in your benchmark. There
are two primary ways to weight the
underlying indexes in the benchmark.
One approach is to adopt a static
policy benchmark. The other approach
allows for dynamic reweighting of the
underlying indexes.
With a static benchmark, the weighting
of each of the constituent indices is
held constant at the level reflecting
long-term targets for the investment
of the portfolio. This approach allows
you to measure the effect of asset
allocation decisions within the portfolio.
For example, if the investment
manager has maintained an overweight
allocation to U.S. large cap equities
relative to the policy benchmark and
U.S. large cap equities outperformed
other asset classes, the comparison
to the benchmark would capture this
outperformance. One drawback to this
approach is that it may prove difficult to
identify whether portfolio performance
is due to asset allocation decisions or to
the performance of specific managers
within the overall asset allocation. However, assuming the investment manager
is making both asset allocation and fund manager decisions, a static benchmark
holds the manager accountable for all decisions and reflects the total value the
manager is providing the institution.
The other benchmark approach reweights the indices dynamically as of the
beginning of each measurement period. This approach allows you to measure
the effectiveness of the active managers chosen for each segment of the overall
portfolio. The impact of active asset allocation decisions made by the portfolio
manager is eliminated from the comparison between portfolio performance and
benchmark performance. This approach helps organizations that utilize actively
managed mutual funds to identify if the active managers of their mutual funds
have performed well.
Conclusion
Comparing portfolio performance results to a benchmark is inevitably a
shorthand measure. Whatever the difference between the portfolio and the
benchmark performance, you should ask, “Why did the portfolio perform
this way?” If your portfolio outperformed its benchmark, did the investment
manager take more risk than the benchmark? Did active management help
or hurt performance? Did wise asset allocation decisions generate the
outperformance? Conversely, in periods of underperformance, you want to
know whether asset allocation drove the outcome, or whether a high cash
position due to a large gift receipt in the period created a drag on performance.
Finally, don’t forget that managers should be evaluated over longer time periods
than a single quarter or year. Investment styles go in and out of favor depending
on financial market conditions. Investment managers should be evaluated over
a complete market cycle.
7. What Is My Benchmark Telling Me?
5
About the Authors
Sally L. Rubin, CFA
Director, Planned Giving Investments
Sally Rubin is the director of investments for BNY Mellon Wealth Management’s
Planned Giving group. In this role, she oversees the overall investment process,
including asset allocation and execution decisions, as well as the portfolio officers
who are managing clients’ investment portfolios.
Sally joined the firm in 2011. Previously she was with Frontier Capital Management
for 12 years as a partner, co-portfolio manager and equity analyst. Before that, she
worked as a business strategy consultant at Telesis, a Towers Perrin Company.
Sally received a bachelor’s degree from Harvard University and both a master’s
degree in music and a master of business administration from Yale University. She
is also a CFA charterholder. Sally has 18 years of experience as a board member
for non-profits such as the New England Conservatory of Music (NEC), Celebrity
Series of Boston, Yellow Barn Music School and Festival and Emmanuel Music. At
NEC she is past chair of the Board of Overseers, as well as a member of the Board
of Trustees, Executive Committee, Investment Committee and Finance Committee.
For the past nine years, Sally has been the sole outside trustee of a private
foundation that supports cultural, environmental and public policy initiatives.
Brandon Parrish, CFA
Investment Officer
Brandon is a portfolio manager for BNY Mellon Wealth Management’s Planned
Giving group. In this role, he works directly with clients to address their investment
management needs.
Brandon joined the firm in 2012 and has eight years of experience in the financial
services industry. Prior to joining the firm, Brandon worked at State Street
Corporation in their Global Markets division.
Brandon received a bachelor’s degree from Roger Williams University and a
master’s degree in finance from Boston College. Brandon is a CFA charterholder
and a member of the Boston Security Analysis Society.