kathy sham
2024-01-10 19:30什麼是 APPRAISAL RATIO?FORMULA 是什麼?
所屬:CFA Level III > Trading, Performance Evaluation, and Manager Selection 視頻位置 相關(guān)試題
來(lái)源: 視頻位置 相關(guān)試題
1個(gè)回答
Goollii助教
2024-01-17 17:18
該回答已被題主采納
同學(xué)您好,
AR=Jensen's alpha/Non-systematic risk
Jensen's alpha(主動(dòng)管理的回報(bào))=average annualized return-[risk free rate + beta *( market return - risk free rate )]
Non-systematic risk(主動(dòng)管理的風(fēng)險(xiǎn))=the standard deviation of the portfolio’s residual
The appraisal ratio measures the reward of active management relative to the risk of active management
具體可以看下下圖這個(gè)原版書案例理解一下
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