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- International Portfolio Investment
- Questionnaire
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- Index Models.
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Muhammad Shahid

U.U.D.M. Project Report 2007:19

Handledare och examinator: Johan Tysk

Juni 2007

Department of Mathematics

Uppsala University

Dedications

I dedicate this thesis to my beloved parents and teacher (Prof. Abdul Hafeez Sh), who

played the most vital role in my upbringing and grooming. Today what ever I am is due

to virtue of their nurture and prays. My Degree (Master in Financial Mathematics) would

not been completed without their support and encouragement. May Allah bless them.

ii

Acknowledgement

All prays to Allah Almighty who induced the man with intelligence, knowledge and

wisdom. It is He who gave me ability, perseverance and determination to complete this

thesis.

Teachers are lighthouses spreading the light of knowledge and wisdom everywhere and

guiding the new generation so that they can cruise safely towards their destination. They

are really lamps that are kindling the candles of knowledge in the heart of young

generation. They are performing the job, which Allah himself acknowledge as the noblest

to all jobs; the job of teaching. They will get its reward not only from Allah but also in

the form of immense respect that every student carries for them in the core of his heart.

I offer my sincerest thanks and deepest gratitude to my research supervisor Prof. Johan

Tysk for his inspiring and valuable guidance, encouraging attitude and enlightening

discussions enabling me to pursue my work with dedication.

I would like to say a big thanks to all the teachers who taught me in the entire program.

They did not only teach me how to learn, they also taught me how to teach, and their

excellence has always inspired me.

I also wish to express my feeling of gratitude to my parents, sisters, brothers and friends,

who prayed for my health and brilliant future.

A very special thanks and appreciation goes to my dearest teacher Prof. Abdul Hafeez Sh,

though you were for away, your persistent telephone calls and the thought of you gave

me the enthusiasm to carry on with my academic work.

iii

Table of Contents

Introduction

2.1

Mean Return of a Portfolio

2.2

Variance of Portfolio Return

2.3

The Markowitz Problem

2.4

The Capital Market Line

3

3

3

4

8

3.1

History of CAPM

3.1.1 Systematic Risk

3.1.2 Unsystematic Risk

3.2

Assumption of Capital Asset Pricing Model

3.3

The Security Market Line

3.4

CAPM as a Pricing Formula

3.4.1 Linearity of Pricing and Certainty Equivalent Form

11

11

11

11

14

17

17

19

4.1

Measuring the Rate of Return of a Portfolio

4.1.1 Time Weighted Rate of Return

4.1.2 Value Weighted Rate of Return

4.2

Risk Adjusted Performance Measure

4.2.1 Public Information

4.2.2 Private Information

4.3

Risk Adjusted Performance Indices

4.3.1 The Jensen Index

4.3.2 The Treynor Index

4.3.3 The Sharpe Index

4.4

Comparison of Three Indices

4.5

Conclusion

20

20

20

20

21

21

21

23

23

26

29

36

39

Reference

40

Chapter 1

INTRODUCTION

Measuring of portfolio performance has become an essential topic in the financial

markets for the portfolio managers, investors and almost all that have something to do in

the field of finance and it plays a very important role in the financial market almost all

around the world.

Earlier then 1950, portfolio managers and investors measured the portfolio performance

almost on the rate of return basis. During that time, they knew that risk was a very

important variable in determining investment success but they had no simple or clear way

of measure it.

In 1952 Markowitz created the idea of Modern Portfolio Theory and proposed that

investors expected to be compensated for additional risk and provided a framework for

measuring risk. In early 1960, after the development of portfolio theory and capital asset

pricing model in subsequence years, risk was included in the evaluation process.

The capital asset pricing model of William Sharpe and John Litner marks the birth of

asset pricing theory. The attraction of capital asset pricing model was that it offered

power predictions about how to measure risk and the relation between expected return

and risk.

Treynor (1965) was the first researcher developing a composite measure of portfolio

performance. He measured portfolio risk with beta and calculated portfolio market risk

premium and later on in 1966 Sharpe developed a composite index which is similar to the

Treynor measure, the only difference being the use of standard deviation instead of beta.

In 1967 Sharpe index evaluated funds performance based on both rate of return and

diversification but for a completely diversified portfolio Treynor and Sharpe indices

would give identical ranking. Jensen in 1968, on the other hand, attempted to construct a

measure based on the security market line and he showed the difference between the

expected rate of return of the portfolio and expected return of a benchmark portfolio that

would be positioned on the security market line.

According to Prof. K. Spremann, Portfolio measurement has not only the goal to

inform about the quality of a portfolio performance__ but and thats even more

important__ to decompose and analyze the success factors of a portfolio.

This thesis is organized as fellows. In Chapter 2, we explore the concept of Mean

Variance portfolio theory with example. We also describe the Markowitz problem,

solution of the Markowitz problem and the concept of capital market line. In Chapter 3,

we describe the capital asset pricing model and prove its theorem along with

assumptions. CAPM as a pricing formula and linearity of pricing and certainty equivalent

Measuring Portfolio Performance

2

form are also explained in this chapter. Finally, in Chapter 4, we explore the concepts of

measuring portfolio performance, including definitions of measuring the rate of return of

a portfolio, time weighted and value weighted rate of returns. Finally, we discuss the risk

adjusted performance measure based on capital asset pricing model. Based on three risk

adjusted performance indices (Jensen, Sharpe and Treynor) we calculate the performance

of different portfolio and compare these indices.

The main references of this thesis are [1], [2], [4], [5], [9], [10] and [11]. In Chapter 2, we

refer to [3], [7], [8] and [16]. In Chapter 3, we also refer to [6], [12], [13] and [15]

frequently. Some data also refer to web pages listed at the end of reference section.

Chapter 2

PORTFOLIO MEAN AND VARIANCE

2.1 Mean Return of a Portfolio

Suppose that there are n assets with rates of return r1 , r2 ,, rn and these have expected

values E (r1 ) = r1 , E (r2 ) = r2 , .. , E (rn ) = rn . We form a portfolio of these n assets

using the weights wi , i = 1,2,,n. The rate of return in terms of the individual return of

the portfolio is

r = w1 r1 + w2 r2 + + wn rn .

(1)

We find the expected rate of return by taking the weighted sum of individual expected

rates of return. Using the property of linearity, we take the expected values on the both

sides of equation (1)

E (r ) = w1 E (r1 ) + w2 E (r2 ) + + wn E (rn ) .

(2)

The variance of the return of asset i is denoted by i2 , the variance of the return of the

portfolio by 2 , and the covariance of the asset i with asset j by ij . We can perform

the following calculation,

2 = E (r r ) 2 ,

n

n

= E ( wi ri wi ri ) 2 ,

i =1

i =1

n

n

= E ( wi (ri ri ))( w j (r j r j ) ,

j =1

i =1

n

= E wi w j (ri ri )(r j r j ) ,

i , j =1

2 =

w w

i

ij

i , j =1

(3)

Example 2.1 Consider there are two assets with expected values r1 = 0.22, r2 = 0.55

and the variance are 1 = 0.80, 2 = 0.88 and 12 = 0.55 respectively. A portfolio with

weights w1 = 0.25 and w2 = 0.65 is formed. Calculate the mean and variance of the

portfolio?

Solution

Mean of the portfolio

= w1 E (r1 )

+ w2 E (r2 )

= 0.25(0.22) + 0.65(0.55)

=

0.4125.

w w

ij

w12 12

0.371.

i , j =1

w22 22

w1 w2 12

+ w2 w1 21

The Markowitz problem explicitly addresses the tradeoff between expected rate of return

of a portfolio and variance of the rate of return of a portfolio. This problem is mainly

used when the risk free assets as well as risky assets are available. The Markowitz

problem can be solved numerically. When we solve the problem numerically then we get

a numerical solution.

Consider that there are n assets and their expected rates of return are r1 , r2 ,..., rn and

their covariances are i j , for i = j = 1,2,, n . The portfolio is defined as a set of n

weights wi , for i = 1, 2 n , that its sum equal to 1. In order to find a minimum variance

of a portfolio, some arbitrary value r is assign to the mean value. Hence the problem can

be formulated as

1 n

min wi w j ij ,

2 i , j =1

subject to

n

w r

=r,

= 1.

i i

i =1

n

i =1

Lagrange Multipliers and are used to solve the problem. In the Lagrangian, first we

convert all the constraints to one with zero on the right hand side as shown below.

1 n

f =

wi w j ij ,

2 i , j =1

n

w r

r = 0,

1 = 0.

i i

i =1

n

i =1

Then the each left hand side is multiplied to its Lagrange Multiplier and subtracted from

the objective function.

Lagrangian function

L ( wi , w j ) =

1 n

wi w j ij - (

2 i , j =1

wi ri r ) - (

i =1

1 ).

i =1

Differentiate the Lagrangian with respect to wi and w j and put equal to zero. If the type

structure is unfamiliar then it is difficult to differentiate it. Here we consider the case of

only two variables and it is easy to generalize it to n variable.

Functions of two variables

L ( wi , w j ) =

1 2

wi w j ij - (

2 i , j =1

wi ri r ) - (

i =1

i =1

or

L ( wi , w j ) =

1

( w12 12 + w1 w2 12 + w2 w1 21 + w22 22 )

2

- ( r1 w1 + r2 w2 - r ) - ( w1 + w2 - 1 ).

1 )

L

1

=

(2 w1 12 + w2 12 + 21 w2 ) - r1 - ,

w1

2

and

L

1

=

( 12 w1 + w1 21 + 2 w2 22 ) - r2 - .

w2

2

Now putting

L

= 0,

w1

L

= 0, and using the fact 12 = 21 , we get

w2

12 w1 + 12 w2 + r1 - = 0,

and

21 w1 + 22 w2 - r2 - = 0.

Here we have four equations, two as above and two from the constraints. These equations

can be solved for the four unknown w1 , w2 , and .

The efficient portfolio for two Lagrange Multipliers and and the portfolio weight

n

ij

wi - ri - = 0,

for i = 1, 2 n

(1)

j =1

w r

i i

= r,

(2)

= 1.

(3)

i =1

and

n

i =1

From equation (1), we have n equations and two equations of the constraints. Now we

have total n + 2 linear equations, with n + 2 unknown i.e. wi ' s , and . Using the

linear algebra method these equations can be solved easily.

Example 2.2 Consider we have three uncorrelated assets. Each has variance 1 and the

mean values are 1, 2 and 3, respectively, there is a bit of simplicity and symmetry in this

situation, which makes it relatively easy to find an explicit solution.

7

Using the equations,

n

ij

wi - ri - = 0,

for i = 1, 2 n

(1)

j =1

w r

i i

= r,

(2)

= 1.

(3)

i =1

and

n

i =1

we have

12 = 22 = 32 = 1

and

12 = 23 = 31 = 0.

Using all known values in equations (1) (3), we get the following five equations.

And

w1 - - = 0,

w2 - 2 - = 0,

w3 - 3 - = 0.

(4)

(5)

(6)

w1 + 2 w2 + 3 w3 = r ,

(7)

w1 + w2 + w3 = 1.

(8)

We have to find the values of and , substituting the values of w1 , w2 and w3 from

equations 4, 5 and 6 in equations 7 and 8, we obtain

( + ) + 2(2 + ) + 3(3 + ) = r ,

14 + 6 = r ,

(9)

( + ) + (2 + ) + (3 + ) = 1,

6 + 3 = 1.

(10)

and

r

- 1,

2

= 2(

1

)- r.

3

8

4

r

- ( ),

3

2

1

w2 = ,

3

w1 =

and

w3 = (

r

2

) - ( ).

2

3

r

7

2r +

3

2

3 / 3.

The linear efficient set of capital asset pricing model (CAPM) is known as capital market

line. It is also stated as The efficient set consisting of a single straight line, from the risk

free point and which is passing through the market portfolio, that line is known as capital

market line.

The capital market line is illustrated above, with return p on the y-axis and risk p on xaxis. The line shows the relationship between the expected rate of return and the risk of

return for efficient portfolios of assets. It is also referred to pricing line and if the risk

9

increases then corresponding expected rate of return must also increase. M is the

market portfolio and r f is the risk free rate of return.

The capital market line states that

rp = r f +

rM r f

p.

Here

rp

rf

rM

=

=

standard deviation of the efficient portfolio

p

M

K =

rM r f

It is also called the price of risk. It tells us how the expected rate of return of a portfolio

must be increase if the standard deviation of that rate is increase by one unit.

Example 2.3 Consider an oil drilling venture. The price of a share of this venture is

$1750. After one year, it is expected to yield the equivalent of $2000. The standard

deviation of the return is = 45%. Currently, the risk free rate is 15%. The expected rate

of return on the market portfolio is 23% and the standard deviation of this rate is17%.

Compare this oil venture with the asset on the capital market line.

Solution

Here

r f = 15% = .15

M = 17% = .17

rM = 23% = .23

p = 45% = .45

rM r f

rp = r f +

p,

= (.15) + (

.23 .15

(.45) ),

.17

10

=

36%.

r =

2000

) 1,

1750

.14,

14%.

After comparing the both values it is clear that the oil venture lies well below the capital

market line.

11

Chapter 3

THE CAPITAL ASSET PRICING MODEL (CAPM)

The capital asset pricing model (CAPM) was introduced by Jack Treynor (1961) while

parallel work was also performed by William Sharp (1964) and Lintner (1965). In 1990,

Sharp received the Nobel Memorial Prize in Economics with Harry Markowitz and

Merton Miller in the field of financial economics.

The Capital Asset Pricing Model is an economic model which is used for valuing the

securities, stocks and assets by relating risk and expected rate of return.

In the capital market line, the expected rate of return of an efficient portfolio relates to its

standard deviation but cannot show how the expected rate of return of an individual asset

relates to its individual risk. This relation is expressed by the capital asset pricing model

(CAPM).

The CAPM help us to calculate investment risk and what is the return on the investment.

This investment contains two types of risk.

Systematic Risk

Unsystematic Risk

3.1.1 Systematic Risk Systematic risks are market risks that cannot be diversified away.

For example, wars and interest rates are good examples of the systematic risk.

3.1.2 Unsystematic Risk Unsystematic risk is specific to each individual stocks and it

can be diversified away as the investor increases the number of stocks in portfolio. It is

also known as specific risk.

Theorem Suppose that market portfolio M is efficient, the expected return ri of any asset

i satisfies the relationship.

ri - r f = i ( rM r f ),

where

rf

rM

( rM r f )

and

12

iM

.

M2

Proof Suppose for any , the portfolio consisting of a portion invested in the asset i

and the remaining potion 1 - invested in the market portfolio M. The expected rate of

return of this portfolio is

r =

ri + (1 - ) rM

(1)

= [ 2 i2 + 2 (1 - ) iM + (1 - ) 2 M2 ]1/2

(2)

In particular = 0 corresponding to the market portfolio M. This curve cannot cross the

capital market line. If it crosses the capital market line then it would violate the definition

of the capital market line. The curve must be tangent to capital market line. At the point

M the slope of the curve is equal to the slope of the capital market line.

Differentiating equations (1) and (2) with respect to , we get

d r

= ri - rM .

d

Furthermore

d

1

= [ 2 i2 + 2 (1 - ) iM + (1 - )2 M2 ] 1 2

d

2

[2 i + 2(1 - ) iM + 2(1 - )(-1) M2 ],

13

2 i + 2(1 ) iM + 2( 1) M2

1

2 [ 2 i2 + 2 (1 - ) iM + (1 - ) 2 M2 ]1/2

i + (1 ) iM + ( 1) M2

.

[ 2 i2 + 2 (1 - ) iM + (1 - ) 2 M2 ]1/2

(0) i + (1 0) iM + (0 1) M2

[(0) 2 i2 + 2 (1 - 0) iM + (1 - 0 ) 2 M2 ]1/2

At = 0, we get

d

d

=0

iM M2

[ M2 ]1/2

iM M2

M

=

=

d r d

,

d d

d r

=

d

at point = 0, we get

d

d

=

=0

ri rM

iM m2

M

=

(ri rM ) M

.

iM M2

This slope is also equal to the slope of the capital market line.

(ri rM ) M

iM M2

rM r f

and therefore,

ri M2 rM M2 =

(r

rf

) (

iM

M2 ) ,

14

ri M2 rM M2 =

rM iM rM M2 iM r f + M2 r f .

ri M2 r f M2 =

(r

ri

rf +

i =

iM

.

M2

Thus

r f iM ,

and

(rM r f ) iM

M2

(3)

Now let

ri

r f + i rM r f .

The ri r f is expected excess rate of return of asset i , it is defined as the amount by

which the rate of return is expected to exceed the risk free rate. Similarly, rM r f is the

expected excess rate of return of the market portfolio. The capital asset pricing model

(CAPM) tells us that the expected excess rate of return of an asset is proportional to the

expected excess rate of return of the market portfolio.

The capital asset pricing model (CAPM) is valid within a special set of assumption.

These assumptions are

Investor may borrow and lend unlimited amount of risk free asset.

The risk free borrowing and lending rates are equal.

The quantity of assets is fixed.

Perfectly efficient capital markets.

No market imperfections such like taxes and regulation and no change in the level

of interest rate exists.

There are no arbitrage opportunities.

There is a separation of production and financial stocks.

Returns (assets) are distributed by normal distribution.

15

Example 3.1 Suppose the rate of return of the market has an expected value 14% and a

standard deviation of 15%, let the risk free rate be 10%. Using the capital asset pricing

model formula calculate an expected rate of return.

Solution Consider an asset has covariance of .045 with the market; first, we have to find

the value of the (beta).

Here

iM

,

M2

0.045

(0.15)2

2.

r f = 10% = .10

rM

= 14%

= .14

ri = r f + i ( rM r f ),

r = (.10) + 2(.14-.10),

= (.10) + (.08),

= .18,

= 18%.

Example 3.2 Assume that the risk free rate is 8% and the expected market return is 12%.

Find the expected rate of return when (a) = 0 (b) = 2.

r f = .08,

Solution

Case (a)

When = 0

ri = r f + i ( rM r f ),

= .08 + 0 (.12-.08),

= .08.

rM = .12

16

Case (b)

When = 2

ri = r f + i ( rM r f ),

= .08 + 2(.12-.08),

= .08 + .08

.16.

This example shows that the higher the degree of the systematic risk , the higher the

return on a given security demanded by investors.

Security

Amount

Beta

Xi

Stock A

Stock B

Stock C

Stock D

5,000

10,000

8,000

7,000

0.75

1.10

1.36

1.88

5/30

10/30

8/30

7/30

R = r + i ( Rm r )

0.1225

0.1610

0.1896

0.2468

The risk free rate is 4% and the expected return on the market portfolio is 15%. Using the

capital asset pricing market, what is the expected return on the above portfolio?

Solution

Here

r f = .04

rM = .15.

Here i denotes the beta coefficient of the stock i . We calculate the beta coefficient i

for the portfolio and get the expected return on the portfolio from the capital asset pricing

model equation.

Here

xA A

xB B

xC C

+ xD D

=

1.29

Capital asset pricing model equation is

ri

= r f + i ( rM r f ),

= .04 + (1.29) (.15-.04),

= .04 + 0.15,

= 0.19.

17

The security market line is the graphical representation of the capital asset pricing model.

The capital asset pricing model equation describes a linear relationship between risk and

return. This linear relationship is termed as the security market line.

The graph shows the relation in the form of beta. In this case, the market portfolio to the

point beta is equal to one. According to the capital asset pricing model this line expresses

the risk reward structure of assets. The expected rate of return increases linearly as beta

increases.

It is a useful tool in determining if an asset being considered for a portfolio offers a

reasonable expected return for risk on the security market line. We plotted individual

securities, if the securitys risk versus expected return is plotted above the security market

line, then it is undervalued and the investor can expect a higher return for the inherent

risk. If a securitys risk versus expected return is plotted below the security market line,

then it is overvalued and the investor would be accepting less return for the amount of

risk assumed.

CAPM is a pricing model. It only contains the expected rate of return but cannot contain

price explicitly. We want to see why the CAPM is called a pricing model.

Consider an asset is being purchased at price P and after some time it is sold at price Q .

(Q P )

Then r =

is the rate of return, Here P is known and Q is random (unknown),

P

the CAPM formula is

r

r f + i rM r f .

(1)

18

(Q P )

P

r f + rM r f ,

QP

P ( r f + rM r f ),

P + P ( r f + rM r f ),

P (1 + ( r f + rM r f ),

Q

.

(1 + (r f + (rM r f )))

(2)

It is the price of the asset according to the CAPM. Here is the beta of the asset.

Example 3.4 Let us consider an oil drilling venture. The possibility of investing in a

certain oil share that produces a payoff, it is random because of the uncertainty in future

oil price. The expected payoff is $1200 and standard deviation of return is 40%.The of

the asset is 0.8 that is relatively low. The risk free rate is 20% and the expected return on

the market portfolio is 70%. What is the value of this share of the oil venture using the

CAPM?

Solution

We know that

P =

here

Q

(1 + (r f + (rM r f )))

Q = $1200

r f = 20% = 0.20

rM = 70% = 0.70

= 0.8

P =

P =

P

1200

,

1 + 0.20 + 0.8(0.70 0.20)

1200

,

1 .6

$750.

(1)

19

Linearity of the pricing formula is a very important property. Its mean that the price of

the sum of two assets is the sum of their prices, similarly, the price of a multiple of an

asset is also the same multiple of the price. The formula does not look linear, in the case

of sums. Consider the example

Suppose

P1 =

Q1

1 + r f + 1 (rM r f )

P2 =

Q2

1 + r f + 2 (rM r f )

P1 + P2 =

Q1

1 + r f + 1 (rM r f )

Q1 + Q2

1 + r f + 1+ 2 (rM r f )

Q2

1 + r f + 2 (rM r f )

It is the sum of assets 1 and 2, here 1+ 2 is the beta value of the new asset.

20

Chapter 4

MEASURING PORTFOLIO PERFORMANCE

4.1 Measuring the rate of return to a portfolio

The rate of return of a portfolio is measured as the sum of cash received (dividend) and

the change in the portfolios market value (capital gain or loss) divided by the market

value of the portfolio at the beginning of the portfolio, mathematically,

Return of a portfolio =

Market value of a portfolio( purchase price)

The rate of return is the most important outcome from any investment. It works well for

static portfolio. Managed portfolios receive additional amount to be invested in the period

(a month or a quarter) and their investors can also withdraw fund from the portfolio.

Suppose that the market value of a portfolio $ 1 million invested for the period of a

quarter and $1 million is added at the end of the first month and then $1.5 million is

withdrawn at the end of 2nd month. How is the return to be calculated for the quarter?

There are two methods to calculate this return.

Value Weighted rate of return

The first method is called time weighted rate of return. The time weighted rate of return

measures the performance of the portfolio manager. The amount of funds invested is

neutralized in the calculation of time weighted return because the funds have deposits and

withdrawals by the investors are not under the control of the fund manager but their

return are computed on the basis of cash distributions and the changes in the market value

of a single share in the fund but the time weighted return is calculated by dividing the

beginning value of a share into the cash distribution and the change in the value of a

share during the period. However, to calculate the time weighted rate of return, divide the

portfolio into shares and compute the return to a single share in the portfolio across the

period. In the same way we can calculate the rate of return of a mutual fund.

4.1.2

The second method is called value weighted rate of return. The time weighted method

ignored the deposits and withdrawal to and from the portfolio during the period over

which return to be measured but the value weighted method takes deposits and

withdrawal into its account. Suppose that wT is a withdrawal at time T and Dt is a

21

deposit at time t and further assumed that cash (dividend) to the portfolio are received at

the end of the period. The value weighted rate of return r is found by solving the

following particular equation.

n

m

Dt

wT

+

t

t

t =1 (1 + r )

t =1 (1 + r )

Total ending value of portfolio

.

+

(1 + r )t

deposits during the period.

4.2 Risk Adjusted performance Measure (Based on Capital Asset pricing model)

Suppose that for a set of information relevant to any given stock, we can divide this

information into two major types.

4.2.1 Public information it is also called open end information. These pieces of

information are available to everyone and the manager can offer new shares at any time.

4.2.2 Private information This information is available for selected individuals only.

Suppose that if we were to estimate the expected returns, variance and covariance based

on the analysis of the public available information alone, we would see the market

portfolio positioned on the capital market line shown in the Figure 4.1 and every stocks

and portfolio would be positioned on the security market line shown in the Figure 4.2.

Figure 4.1

E(r)

0

14

Jensen Index

12

Expected return

10

8

0

SML

rf

.50

1.00

0

Beta

1.50

22

Figure 4.2

E(r)

E(Tm)

Expected return

CML

A`

A

0

rf

Standard deviation

(rm)

(r)

Standard deviation

Consider two professionally managed portfolio, Alpha fund and Omega fund. In the

Alpha fund, the managers have private information relating to a single company and this

private information is favorable in the sense that expected rate of return to the stock is

higher then we think about the public information alone. Suppose that the managers of

the Alpha fund invest 100% of money in their portfolio in single stock of this company.

If we plot the portfolio position based on the public information alone. Its point label A in

figures 4.1 and 4.2 as shown above. Alpha fund plot at point A/ in the above two figures,

based on the both public and private information and it is above the security market line.

With the 2% additional increment in its expected rate of return, its still position inside the

efficient set.

In the Omega fund, the managers are more skillful because they have able to acquire

private information on many other companies. Suppose in this case, the private

information affects only in the estimate of expected return but not in the estimate of risk.

In the Figures 4.1 and 4.2 the Omega is point at O and O/ based on public information

alone and both public and private information respectively. Omega does not look like

very special to those of us who only have public information to make one estimates.

The typical structure of a risk adjusted performance measure is

23

There are three indices available for measuring the risk-adjusted performance.

The Sharp Index (Sharp, 1966)

The Treynor Index (Treynor, 1965)

All three indices are based on the capital asset pricing model and they are in widespread

use. The Jensen Index is a measure of relative performance based on the security market

line, whereas the Treynor and Sharp indices are based on the ratio of the return to risk. It

is generally assumed in the Jensen and Treynor Indices that stocks are priced according to

the capital asset pricing model. We know that capital asset pricing model theory proposes

that the expected return on a risky investment is composed of the risk free rate and a risk

premium, where the risk premium is the excess market return over the risk free rate

multiplied by beta. The Jensen and Treynor indices deal with risk-adjusted performance

stickle based within the framework of capital asset pricing model and both are bounded

by capital asset pricing model assumptions. We have already discussed these assumptions

in Chapter 3.

4.3.1

An index that uses the capital asset pricing model (CAPM) to determine whether a money

manager outperformed a market index.

In finance, Jensens index is used to determine the required (excess) return of a stock,

security or portfolio by the capital asset pricing model. Jensen index utilizes the security

market line as a benchmark. In 1970s, this measure was first used in the evaluation of

mutual fund managers. This model is used to adjust the level of beta risk, so that riskier

securities are expected to have higher returns. It allows the investor to statistically test

whether portfolio produced an abnormal return relative to the overall capital market.

An important issue regarding the use of Jensen Index is the choice of the market index,

because the portfolio performance will be compared with the market portfolio.

According to capital asset pricing model (CAPM), in an equilibrium risk return model

(Levy and Sarnat, 1984) the expected rate of return on an asset or portfolio is expressed

as

Erp = rp + ( Erm rf ) p .

Here

Erp = expected return of an asset or portfolio

rf

(1)

24

We want to obtain the Jensen Index, a time series regression of the securitys return

( rp rf ) is regressed against the market portfolio excess return ( rm rf ) .

Now

(r

rf ) = p + ( rm rf ) p + p .

(2)

Here

rp =

rf =

p =

p =

beta or systematic risk of the portfolio

rm =

Now by taking mean on the both sides of equation (2), we obtain

(r

rf ) = p + ( rm rf ) p .

(3)

By Levy and Sarnat 1984, the average error term p is always zero.

So equation (3) become

p = rp ( rf + ( rm rf ) p ) .

(4)

In the framework of capital asset pricing model (CAPM), p should be zero. It means

that the stock has performed exactly same as the market expected based on its systematic

risk.

The Jensen Index ( p ) for a particular portfolio is identified by the vertical intercept of

the regression model described in equation (4), from the equation (4) it is clear that the

higher the vertical intercept ( p ), the greater the abnormal return achieved by the

portfolio in the excess of the market return.

Here we discussed three scenarios of super market performance along with the diagrams.

In all the scenarios, the excess returns on the fund are plotted against the excess returns

on the market.

25

First Scenario

The excess returns on the fund are plotted against the excess returns on the market as

shown above. The regression line in the first scenario has a positive (+ve) intercept. This

is the abnormal performance.

Second Scenario

The second scenario shows what is known as market timing. If the portfolio manager

knows when the stock market is going up, he will shift into high beta stocks. If the

portfolio manager knows the market is going down, he will switch into low beta market.

In the high beta stocks, these stocks will go up even further then the market and in the

case on low beta stocks, these stocks will go down less then the market. Here we notice

that the Jensen measure is positive signaling superior performance.

26

Third Scenario

The third scenario shows market timing, suppose the manager is so good that there are no

negative returns. The managers know the good market timing abilities. Suppose that the

market goes up. In this case, the fund goes up by more than the market, which is

indicating that it shifts into high beta stocks. It is important to notice that the Jensen

measure in this case is negative. Even though the manager has exhibited strong market

timing abilities, the performance evaluation criteria tells that he is not doing a superior

job. It is a major problem in the Jensen measure.

4.3.2

In 1965, Treynors was the first researcher who computed measure of the portfolio

performance. A measure of a portfolio excess return per unit of risk is equal to the

portfolio rate of return minus the risk free rate of return, dividing by the portfolio beta.

This is useful for assessing the excess return, evaluating investors to evaluate how the

structure of the portfolio to different levels of systematic risk will affect the return.

Symbolically, the Treynor Index ( Tp ) is presented as

Tp =

rp rf

Here

rp =

rf =

p =

portfolio beta.

When rp > rf and p > 0 , we get a larger Treynor value. It means a better portfolio for

all the investors regarding of their individual risk performance.

27

We discuss two cases, in which we may have a negative Treynor Value.

When rp < rf The Treynor is negative because rp < rf , we judge the portfolio

performance very poor.

When p < 0 The negativity becomes from beta, the funds performance is

superb.

There is another very important case, suppose that when rp rf and p are both negative,

then Treynor will become positive but in order to qualify the funds performance as good

or bad we should see whether rp lies above or below the security market line.

The Treynor index uses the security market line as a benchmark. This index has a

geometric interpretation which is similar to the sharp index. It measures the slope of a

line that starts at the risk free rate and connects with the point that marks the fund beta

and expected return.

All risk averse investors would like to maximize this, while a high and positive (+ve)

Treynor index shows a superior risk adjusted performance of a fund, while a low and

negative (-ve) Treynor Index shows an unfavorable risk adjusted performance of a fund.

The excess returns on the fund are plotted against the beta. The security market line is

drawn with excess returns on the vertical axis. The security market line is the dashed line

that starts from zero in the excess return axis. Notice that the mutual funds distributed

randomly above and below the security market line.

As we discuss above, when rp rf and p are both negative, then Treynor will be

positive (+ve). In order to find the fund performance as good or bad we should see

whether rp above or below the market line. Consider the following example.

28

Assume that we have the following data for three funds namely, ABC, DEF and GHI,

with their rate of return and beta. The risk free rate is 12%. The risk for market (M) is 1.0

and the rate of return for the market (M) is 18%.

Manager

Market

ABC

DEF

GHI

Rate of Return

18%

16%

20%

22%

Beta

1.00

0.90

1.05

1.20

Now by using the Treynor index equation, we can calculate the value of each manager

For Market

We know that

Tmarket =

rp rf

Here

rp = 18%, rf = 12%,

Putting these values in equation (1)

(0.18 0.12)

Tmarket =

1.0

Tmarket = 0.06

Manager ABC

(0.16 0.12)

0.90

= 0.044

TABC =

TABC

Manager DEF

(0.20 0.12)

1.05

= 0.076

TDEF =

TDEF

Manager GHI

(0.22 0.12)

1.20

= 0.083

TGHI =

TGHI

(1)

M = 1.0

29

Tmarket = 0.06

TABC = 0.044

TDEF = 0.076

TGHI = 0.083

Treynors SML

Return

0.2

GHI

0.15

DE

F

0.1

ABC

0.05

0

0

Beta

0.12 + (0.06 * Value of beta)

Manager ABC =

=

0.174

Manager DEF =

=

0.183

Manager GHI =

=

0.192

These results show that GHI had the best performance and ABC did not beat the market

and DEF also beat the market as shown in the above figure.

4.3.3

Sharpe Index

very similar to the Treynor measure. The only difference being the use of standard

deviation instead of beta. The Sharpe index is a measure in which we may measure the

performance of our portfolio in a given period of time.

30

In Sharpe index, we must know three things, the portfolio return, and the risk free rate of

return and the standard deviation of the portfolio. Another thing is that for the risk free

rate of return, we may use the average return (over the given period of time). The

standard deviation of the portfolio is measure the systematic risk of the portfolio.

The Sharpe index is computed by dividing the risk premium of the portfolio by its

standard deviation or total risk. Symbolically, the Sharpe index is presented as

SP =

rp rf

Here

rp =

rf =

p=

standard deviation.

The Sharpe index uses the capital market line as a benchmark. Suppose that mutual fund

is positioned on the capital market line then the fund has natural performance. This

makes sense under capital asset pricing model, because on the basis of the public

information only, any investor can construct a portfolio that is positioned on the capital

market line. The higher the Sharpe measure indicates a better performance because each

unit of total risk (standard deviation) is rewarded with greater excess return.

Rate of return and standard deviation for three portfolios are given below, the risk free

rate is 0.12. The systematic risk for the market (M) is1.0 and the rate of return for market

(M) is 18%.

Portfolio

Market

UV

WX

YZ

Rate of Return

18%

17%

21%

20%

Sharpe Measure

The Sharpe index equation is

SP =

rp rf

For Market

S market =

rp =

0.18,

rp rf

rf =

0.12,

p = 2.0

SDEV

2.00

0.18

0.22

0.23

31

Putting in above equation

(0.18 0.12)

S market =

0.20

S market = 0.300

Portfolio UV

SUV =

(0.17 0.12)

0.18

SUV = 0.278

Portfolio WX

SWX =

(0.21 0.12)

0.22

SWX = 0.409

Portfolio YZ

SYZ =

(0.20 0.12)

0.23

SYZ = 0.348

S market = 0.300

SUV = 0.278

SWX = 0.409

SYZ = 0.348

0.12 + (0.30 * SDEV)

Portfolio UV =

0.12 + (0.30 * 0.18)

=

0.174

Portfolio WX =

=

0.186

Portfolio YZ

=

0.12 + (0.30 * 0.23)

=

0.189

Thus, the portfolio YZ did the best performance and UV failed to beat the market and

WX also beat the market.

32

Example 4.1 Suppose a portfolio manager achieved a return of 15% his portfolio has

standard deviation of 0.3 and a market achieved a return of 14.6%, and a risk free rate of

return of 7%. Calculate the Sharpe Index.

Solution

The Sharpe index equation is

SP =

Here

rp =

rp rf

p

0.15,

rf =

0.07,

p = 0.3

(0.15 0.07)

0.3

S p = 0.267

Sp =

Example 4.2 Suppose we have to ask to analyze two portfolios having the following

characteristics.

Portfolio

1

2

Observed r

0.18

0.12

Beta

1.8

0.7

Residual Variance

0.04

0.00

The risk free rate is 0.07.

The standard deviation of the market portfolio is 0.02.

Compute

The Jensen Index for portfolios 1 and 2.

The Treynor Index for portfolios 1 and 2 and the market portfolio.

The sharp Index for portfolios 1 and 2 and the market portfolio.

a)

b)

c)

Solution

Portfolio 1

We know that

p = rp ( rf + ( rm rf ) p )

(1)

33

Here

rp =

0.18

p = 1.8

rf =

0.07

rm = 0.14

p = 0.18 0.196

p = 0.016

p = 1.6%

or

Portfolio 2

Here

rp =

0.12

p = 0.7

rf =

0.07

rm = 0.14

p = 0.12 0.119

p = 0.001

p = 0.1%

or

Portfolio 1

We know that

rp rf

Tp =

(2)

Here

rp =

18%,

rf =

(0.18 0.07)

1.8

Tp = 6.11

Tp =

7%,

p = 1.8

34

Portfolio 2

Here

rp =

12%,

rf =

p = 0.7

7%,

(0.12 0.07)

0.7

Tp = 7.14

Tp =

T =

Here

rm =

rm rf

m

0.14,

rf =

m = 1.25

0.07,

(0.14 0.07)

1.25

T = 5.6

T=

Portfolio 1

Standard deviation for portfolio 1 is given by the following equation.

p2 = p2 m2 + p2

p = [ p2 m2 + p2 ]1/ 2

1/ 2

p = 0.0538

= 5.38%

Sharpe index for portfolio 1

SP =

Here

rp =

rp rf

(3)

p

0.18,

rf =

0.07,

p = 0.0538

35

(0.18 0.07)

0.0538

S p = 2.044

Sp =

Portfolio 2

Standard deviation for portfolio 1, we know that

p2 = p2 m2 + p2

p = [ p2 m2 + p2 ]1/ 2

p = (0.7)2 (0.02 + 0.00)

1/ 2

p = 0.0989 = 9.89%

Here

rp =

0.12,

rf =

(0.12 0.07)

0.0989

S p = 0.505

Sp =

S=

rm rf

(0.14 0.07)

0.02

S = 3.5

S=

0.07,

p = 0.0989

36

While studying the composite performance measurement of the funds, we see that Sharpe

uses Standard deviation as a measurement of risk; on the other hand, Treynor uses Beta.

If we are examining a well diversified portfolio, the ranking should be similar for all

these indices.

For my analysis, I have chosen the data from the Paper Performance Evaluation of the

Mutual Funds, by Hewad Walasmel, but he took the data from the JP Morgan Global

index bond as the risk free rate. In his paper, he has chosen around about 80 international

mutual funds, but I take only 30 and compare of these. All of the funds have been in the

market at least 10 year period.

In the first table mentioned below, we show the values of Mean, standard deviation and

beta value against each fund.

Table 4.1

Fund

Mean

SDEV

Beta

ABBE

ABFA

ASNA

BHUM

CISE

CITY

COMM

FPSI

FPSE

KBCE

NPIP

ROBU

TSB

VARL

VGRN

CAVE

INGG

POST

SEBA

WAAA

HSBC

CONS

DRGE

LLOY

WALS

CERA

UBSM

LAKE

SEBG

DNBR

0.001

0.001

0.001

0.003

0.002

0.001

0.001

0.001

0.002

0.003

0.004

0.001

0.003

0.004

-0.001

0.001

0.004

0.004

0.004

0.002

0.005

0.002

0.001

0.004

0.003

-0.002

0.002

0.003

0.002

-0.001

0.015

0.016

0.016

0.029

0.015

0.020

0.022

0.011

0.013

0.020

0.016

0.025

0.020

0.028

0.031

0.019

0.025

0.024

0.029

0.030

0.024

0.015

0.015

0.023

0.023

0.034

0.020

0.018

0.022

0.032

0.460

0.140

0.760

1.020

0.530

0.140

0.630

0.370

0.400

0.770

0.610

0.140

0.750

0.950

0.410

0.120

1.010

0.920

1.010

1.020

0.900

0.080

0.110

0.730

0.810

1.240

0.460

0.730

0.920

0.980

37

The first step of analysis is to measure the performance of all listed above 30 funds

according to the performance measurement of Sharpe, Treynor and Jensen. We know the

formulas how to calculate the Sharpe, Treynor and Jensen indices. The table 4.2 shown

below provides an analysis of the performance of the given funds. The first, second and

third columns report the Sharpe, Treynor and Jensen respectively.

Fund

Sharpe

Treynor

Jensen

ABBE

ABFA

ASNA

BHUM

CISE

CITY

COMM

FPSI

FPSE

KBCE

NPIP

ROBU

TSB

VARL

VGRN

CAVE

INGG

POST

SEBA

WAAA

HSBC

CONS

DRGE

LLOY

WALS

CERA

UBSE

LAKE

SEBG

DNBR

0.088

0.097

0.097

0.110

0.174

0.071

0.057

0.158

0.189

0.176

0.243

0.049

0.191

0.140

-0.010

0.046

0.168

0.174

0.137

0.093

0.201

0.156

0.108

0.169

0.163

-0.053

0.114

0.206

0.093

-0.004

0.0028

0.0112

0.0020

0.0031

0.0047

0.0099

0.0020

0.0046

0.0060

0.0044

0.0063

0.0087

0.0050

0.0041

-0.0008

0.0074

0.0042

0.0045

0.0039

0.0027

0.0054

0.0320

0.0141

0.0053

0.0047

-0.0015

0.0046

0.0052

0.0023

-0.0001

0.0002

0.0012

0.0032

0.0008

0.0012

0.0011

-0.0003

0.0005

0.0011

0.0015

0.0024

0.0009

0.0020

0.0017

-0.0012

0.0006

0.0018

0.0019

0.0015

0.0003

0.0027

0.0022

0.0013

0.0021

0.0018

-0.0048

0.0001

0.0020

-0.0001

-0.0025

38

After measuring the ratio of these funds, we separated top 15 funds according to each

measure. It is shown in table 4.3.1, 4.3.2 and 4.3.3. This shows whether there is identical

ranking for these three ratios.

Ranking

1

2

3

4

5

6

7

8

9

10

11

12

13

14

15

Sharpe

NPIP

LAKE

HSBC

TSB

FPSE

KBCE

POST

CISE

LLOY

INGG

WALS

FPSI

CONS

SEBA

UBSE

Value

0.243

0.206

0.201

0.191

0.189

0.176

0.174

0.174

0.169

0.168

0.163

0.158

0.156

0.137

0.114

Ranking

1

2

3

4

5

6

7

8

9

10

11

12

13

14

15

Treynor

CONS

DRGE

ABFA

CITY

ROBU

CAVE

NPIP

FPSE

HSBC

LLOY

LAKE

TSB

CISE

WALS

FPSI

Value

0.0320

0.0141

0.0112

0.0099

0.0087

0.0074

0.0063

0.0060

0.0054

0.0053

0.0052

0.0050

0.0047

0.0047

0.0046

39

Ranking

1

2

3

4

5

6

7

8

9

10

11

12

13

14

15

Jensen

ASNA

HSBC

NPIP

CONS

LLOY

LAKE

TSB

POST

WALS

INGG

VARL

KBCE

SEBA

DRGE

UBSM

Value

0.0032

0.0027

0.0024

0.0022

0.0021

0.0020

0.0020

0.0019

0.0018

0.0018

0.0017

0.0015

0.0015

0.0013

0.0001

Tables 4.3.1, 4.3.2 and 4.3.3 show that each fund in the above 15 ranking has a different

rank according to the different performance measurements. We find that none of the

funds are fully diversified.

4.5 Conclusion

From the above tables we conclude that there is no identical ranking of the three

measurements for any funds. This also shows that these funds are not completely

diversified because we know that completely diversified funds have the similar ranking

for the composite performance measurement of Sharpe, Treynor and Jensen. It means that

there is still some degree of unsystematic risk that any manager can remove by

diversification.

40

References

[1]

University

[2]

Measurement. Journal of portfolio management.

[3]

Quarterly Review of economics.

[4]

finance 0509023

[5]

Journal of Finance.

[6]

Luenberger, D.G. (1997) Investment Science. Oxford University. Press Inc, New

York.

[7]

[8]

John Wiley & Sons, Inc., 1959

[9]

California.

[10]

[11]

Business Review

[12]

http://www.effisols.com/basics/mno.htm

[13]

http://www.investopedia.com/university/concepts/concepts8.asp

[14]

http://en.wikipedia.org/wiki/capital-asset-pricing-model

[15]

http://www.mutualfundsindia.com/perf.asp

[16]

http://www.duke.edu/~charvey/Classes/ba350/perfeval/perfeval.htm

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