Portfolio Analysis
Executive Summary
The main purpose of this report is to evaluate the performance of the managed portfolio over the investment period, from the 12th March to the 11th of May 2012 being a period of nine trading weeks. This portfolio performance evaluation report is prepared to determine whether the portfolio had any abnormal performance and this could be done by better market timing as well as good stock selections by investors, by being able to identify whether the stock is over-performed or under-performed. My portfolio will be assessed in terms of breath and depth followed by looking only at the depth of the performance of my portfolio. Depth is the size of the magnitude of the abnormal or excess returns earned by the manager, which is the ability to earn “above-average” returns whereas breadth refers to the number of different securities for which the manager can generate excess returns. This means that the ability to completely eliminate all non-systematic risk relative to the portfolio’s benchmark. The measurement of depth and breadth could be obtained through the regression analysis as well as risk adjusted performance measures, which would be the Capital Market Line (CML), Capital Allocation Line (CAL), the Sharpe Ratio and the M2 index. The depth of the portfolio is done by looking at the portfolio’s Security Characteristics Line (SCL) and the R2 together with the discussion of the slope and intercept and statistical significance. The Treynor Measure and the Security Market Line (SML) is used to determine the location of the portfolio in order to get a better view on the portfolio’s depth. An effective and well managed portfolio would mean that the portfolio will have both the depth and breadth that leads to higher earnings as well as portfolio diversification to reduce or completely remove non-systematic/firm specific risk. This report compares my portfolio, which is the managed portfolio with the MSCI index as the benchmark. The weekly
The main purpose of this report is to evaluate the performance of the managed portfolio over the investment period, from the 12th March to the 11th of May 2012 being a period of nine trading weeks. This portfolio performance evaluation report is prepared to determine whether the portfolio had any abnormal performance and this could be done by better market timing as well as good stock selections by investors, by being able to identify whether the stock is over-performed or under-performed. My portfolio will be assessed in terms of breath and depth followed by looking only at the depth of the performance of my portfolio. Depth is the size of the magnitude of the abnormal or excess returns earned by the manager, which is the ability to earn “above-average” returns whereas breadth refers to the number of different securities for which the manager can generate excess returns. This means that the ability to completely eliminate all non-systematic risk relative to the portfolio’s benchmark. The measurement of depth and breadth could be obtained through the regression analysis as well as risk adjusted performance measures, which would be the Capital Market Line (CML), Capital Allocation Line (CAL), the Sharpe Ratio and the M2 index. The depth of the portfolio is done by looking at the portfolio’s Security Characteristics Line (SCL) and the R2 together with the discussion of the slope and intercept and statistical significance. The Treynor Measure and the Security Market Line (SML) is used to determine the location of the portfolio in order to get a better view on the portfolio’s depth. An effective and well managed portfolio would mean that the portfolio will have both the depth and breadth that leads to higher earnings as well as portfolio diversification to reduce or completely remove non-systematic/firm specific risk. This report compares my portfolio, which is the managed portfolio with the MSCI index as the benchmark. The weekly