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Reading 52: Portfolio Risk and Return: Part I-LOS a 习题精选

Session 12: Portfolio Management
Reading 52: Portfolio Risk and Return: Part I

LOS a: Calculate and interpret major return measures and describe their applicability.

 

 

An asset manager’s portfolio had the following annual rates of return:

Year Return
20X7 +6%
20X8 -37%
20X9 +27%

The manager states that the return for the period is ?5.34%. The manager has reported the:

A)
arithmetic mean return
B)
holding period return.
C)
geometric mean return.


 

Geometric Mean Return = = ?5.34%

Holding period return = (1 + 0.06)(1 ? 0.37)(1 + 0.27) ? 1 = ?15.2%

Arithmetic mean return = (6% ? 37% + 27%) / 3 = ?1.33%.

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