Portfolio Performance and Attribution Analysis

Portfolio Performance Evaluation and Attribution Analysis

Date of Submission
22nd June, 2011

Portfolio Performance Evaluation and Attribution Analysis

Submitted to:
Mahmood Osman Imam, Ph.D.
Professor
Department of Finance
University of Dhaka

Submitted by:
Sakib Ahmed Chowdhury
B.B.A. 13th Batch
Section: A, ID: 13-161
Group # 9
Department of Finance
University of Dhaka

22nd June, 2011

Dr. Mahmood Osman Imam
Professor
Department of Finance
Faculty of Business Studies
University of Dhaka

Sir,
With due respect, I, a student of B.B.A. Program (13th Batch) under Department of Finance, University of Dhaka, submit the report entitled “Portfolio Performance Evaluation and Attribution Analysis” that you have assigned us as the project work for the course Security Pricing and Portfolio Theory in the running semester.
I thank you, sir, for this assignment which has enriched my knowledge of this topic.

Sincerely,

_________________
Sakib Ahmed Chowdhury

Section: A, ID: 13-161
B.B.A. 13th Batch
Department of Finance
Faculty of Business Studies
University of Dhaka

Table of Contents
Table of Contents iv
Abstract 1 Methodology 1 Limitation 1
Portfolio Construction 2 Selection of Stocks 2 Return Series 2 Individual Stock Returns 2 Market Return 2 Benchmark Returns for Individual Sectors 3 Optimization of Weights 3
Portfolio Performance Measurement 4 Sharpe Portfolio Performance Measure 4 Treynor Portfolio Performance Measure 4 Jensen Portfolio Performance Measure 4
Fama Decomposition 5 Components of Overall Performance 5 Investor’s Risk 5 Manager’s Risk 6 Selectivity 6 Diversification 6 Net Selectivity 6 Decomposition 6
Performance Attribution Analysis 8 Benchmark Portfolio 8 Allocation Effect 8 Selection Effect 9 Attribution 9
Findings 10

Introduction
Portfolio performance evaluation and attribution analysis help the analysts to identify their point of efficiency and