Reading 52: Portfolio Risk and Return: Part I-LOS a 习题精选 武汉, 2011, label, class, 江南

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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.

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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%.