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标题: Reading 52: Portfolio Risk and Return: Part I-LOS a 习题精选 [打印本页]

作者: 1215 时间: 2011-3-24 15:35 标题: [2011]Session 12-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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