Topic7_TransactionCosts_7Sept2015[FINC6003]USYD.pdf

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1、BrokingandMarketMakingFINC6003Dr.ReubenSegaraFinanceDisciplineSchoolofBusinessUniversityofSydney1Evaluatingtradingstrategiesandperformance-Investmentperformance-Transactioncostanalysis(TCA)-Measuringandunderstandingtransactioncosts2ThisLecture…PARTI:Investmentperformance•Evaluatinginvest

2、mentportfolioperformance–ComputingNetAssetValue(NAV)andreturns–NAVandreturnsillustration–Portfoliobenchmarking–Benchmarkingdifficulties–PortfolioPerformance:Benchmarkingillustration•Markettimingversusselection3-InvestmentperformanceEvaluatinginvestmentportfolioperformanceSomequestionsi.W

3、hatisthegoalofaninvestor?ii.What’soneofthesimplestinvestmentsystemsaninvestorcanchoose?iii.Howdoweevaluateourinvestmentsystems?iv.Whatfactorsshouldbeconsideredintheinvestmentevaluationprocess?v.Isthereadifferencebetweeninvestment(portfolio)andtradingdecisions?4-InvestmentperformanceEvalu

4、atinginvestmentportfolioperformanceComputingNetAssetValue(NAV)andreturnsNAVNAVDIVCFtt1ttrtNAVt1nrn(1r)1g,ptt15-InvestmentperformanceEvaluatinginvestmentportfolioperformanceNAVandreturnsillustrationInvestorInvestorFundTotalNumberofDateContributionsWithdrawalsDividendsAssetsShar

5、esNAVtrt__1/2/201310,000,0000010,000,0001,000,00010.00N/A1/3/201300010,200,0001,000,00010.202.00%1/4/20130009,800,0001,000,0009.80-3.92%1/7/201300010,000,0001,000,00010.002.04%1/8/201300200,00010,000,0001,000,00010.002.00%1/9/20130200,000010,000,000980,39210.202.00%1/10/2013200,0000010,5

6、00,000999,42910.513.00%1/11/2013300,000200,000010,400,0001,009,13210.31-1.90%6-InvestmentperformanceEvaluatinginvestmentportfolioperformancePortfoliobenchmarkingrrpfSharperatioSpprrpfTreynorratioTppJensenmeasureJprprfprmrf7-InvestmentperformanceEvaluatinginvestmentportfo

7、lioperformanceBenchmarkingdifficulties1)Giventhatportfoliomanagerschangejobsratherfrequently,isitreasonabletomeasurefundperformanceratherthanmanagerperformance?2)Howfrequentlyareweabletoobtainenoughdatatoobtainstatisticallysignificantmeasuresofperformance?3)HowvalidistheC