How Useful is the Information Ratio to Evaluate the Performance of Portfolio Managers? - Schneider, Christoph
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Master's Thesis from the year 2009 in the subject Business economics - Investment and Finance, grade: A (German Grade: 1,0), European Business School - International University Schloß Reichartshausen Oestrich-Winkel (Union Investment Chair of Asset Management), language: English, abstract: The idea of comparing the performance of different risky investments, for example investment funds, on a quantitative basis dates back to the beginnings of the asset management industry and has been an important field of research in finance since then. Performance measures serve as valuable quantitative…mehr

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Produktbeschreibung
Master's Thesis from the year 2009 in the subject Business economics - Investment and Finance, grade: A (German Grade: 1,0), European Business School - International University Schloß Reichartshausen Oestrich-Winkel (Union Investment Chair of Asset Management), language: English, abstract: The idea of comparing the performance of different risky investments, for example investment funds, on a quantitative basis dates back to the beginnings of the asset management industry and has been an important field of research in finance since then. Performance measures serve as valuable quantitative evidence for the portfolio manager's performance as well as for the evaluation of investment decisions ex post. Based on the idea of the capital asset pricing model proposed by Treynor (1961), Sharpe (1964), and Lintner (1965), Treynor (1965) developed the first quantitative performance measure intended to rate mutual funds, the Treynor Ratio. Since then, a large number of performance measures with very different characteristics have been developed, for example by Sharpe (1966), Jensen (1968), Treynor & Black (1973), Sortino & Price (1994), and Israelsen (2005). In addition to their power of rating investments ex post, their ability to predict future performance has been thoroughly analyzed by Grinblatt & Titman (1992), Brown & Goetzmann (1995), Carhart (1997), and others. Besides academia, the driving force behind the development of more sophisticated performance measures has always been the investors. This is understandable, as "the truly poor managers are afraid, the unlucky managers will be unjustly condemned, and the new managers have no track record. Only the skilled (or lucky) managers are enthusiastic" (Grinold & Kahn, 2000, p. 478).By combining and applying the results of previous research to a new sample of nearly 10,000 mutual funds that invest in different countries and asset classes, this thesis clarifies its central research question: Is the Information Ratio a useful and reliable performance measure? In order to answer this central question, it has been split up into the following sub-parts: What are the characteristics of a useful and reliable performance measure? What actually is "good" performance? Is the "good" performance a result of luck or of skilled decisions and does it persist over time? How does the Information Ratio compare to other performance measures, and what are its strengths and weaknesses? This empirical study aims at answering all of these questions and provides a framework for performance evaluation by use of the Information Ratio.
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Autorenporträt
Der Autor Christoph Schneider beschritt mit seinem postapokalyptischen Fantasy-Epos einen ungewöhnlichen Weg. Er gewann die Unterstützung namenhafter Bands wie Nightwish, Xandria, Lâme Immortelle und Letzte Instanz und veröffentlichte einen multimedialen Roman im iTunes-AppStore, der damit das weltweit erste Fantasy-Epos zum gleichzeitigen Lesen und Hören ist. Die Kombination aus Soundeffekten, Musikstücken und klassischem Buch ermöglicht es dem Leser, noch tiefer in die Welt der Magie- und Wissenschaft abzutauchen und sich ganz seinen Empfindungen hinzugeben. Gerade diese Innovation spiegelt gut die Wurzeln des Autors wieder, der einige Jahre in der Spieleentwicklung tätig war und sich daher ganz ungezwungen deren multimedialer Elemente und Präsentationsmethoden bedient. Auch von der japanischen Kultur lässt er sich stark inspirieren, wie an den anime- bzw. mangaähnlichen Covern seiner Werke zu erkennen ist. Der Autor selbst steht in regem Kontakt zu seinen Lesern, sei es via Fac

ebook oder direkt per E-Mail. Dennoch lässt er lieber seine Geschichten für sich selbst sprechen. Sie allein sind erzählenswert und zu einem Teil auch Ausdruck seiner Seele.