Equity Portfolio Manager active Risk and Information Ratio

2020 ◽  
Author(s):  
Wenbo Zhang
Keyword(s):  
Information Ratio ◽  
Portfolio Manager

scholarly journals Measuring the Performance of Leveraged and Non‑Leveraged ETF’s

2018 ◽  
Vol 66 (5) ◽  
pp. 1357-1367
Author(s):  
Martin Širůček ◽  
Václav Ruml ◽  
Petr Strejček
Keyword(s):  
Empirical Analysis ◽  
Sharpe Ratio ◽  
Exchange Traded Funds ◽  
Investment Horizon ◽  
Information Ratio ◽  
Time Period ◽  
Portfolio Manager ◽  
Retail Investor ◽  
Leveraged Etf ◽  
Leveraged Etfs

This paper deals with exchange traded funds (ETFs) and valuation it’s performance according to selected indicators. For empirical analysis 10 leveraged and non‑leveraged ETFs listed on US market is chosen according to selected criterias (adequate history at least 7 years, daily presented NAV, accessibility for retail investor). Observed time period was 2010–2015 and selected investment horizon is 1, 3 and 6 years. Funds are analyzed on the basis of NAV in the terms of return and risk represented by selected indicators (like Sharpe ratio, Traynor ratio, Information ratio, Apparaisal ratio and indicators like alfa (Jensen Alfa) and beta. Results are commented in a broader context in summary and discussion chapter as well as recommendations. Measured by classical Sharpe ratio, both groups bring to investor pretty same results, but e.q. by Information ratio by non‑leveraged ETF shows very clearly the importance of work by ETF portfolio manager. Only a few leveraged ETF bring to the investor adequate ratio between profit and level of risk.

How Professional is the Professional Portfolio Manager?

1973 ◽  
Vol 29 (2) ◽  
pp. 32-33
Author(s):  
Mark J. Appleman
Keyword(s):  
Portfolio Manager

scholarly journals Naked aggression: Personality and portfolio manager performance

PLoS ONE ◽  
2018 ◽  
Vol 13 (2) ◽  
pp. e0192630 ◽  
Author(s):  
Thomas Noe ◽  
Nir Vulkan
Keyword(s):  
Portfolio Manager ◽  
Manager Performance

Another Look at the Information Ratio

2006 ◽  
Author(s):  
Ludwig B. Chincarini ◽  
Daehwan Kim
Keyword(s):  
Information Ratio
Sign in / Sign up

Export Citation Format

Share Document