Portfolio Performance Measures: Rapid Fire

What this video covers

• Current yield, total return, and holding period return (HPR): how to calculate each, and why HPR is never annualized
• The inverse relationship between bond price and current yield, and how current yield compares to coupon and yield to maturity (YTM) at premium, par, and discount
• Time-weighted return versus dollar-weighted return (internal rate of return or IRR): which removes cash flows for manager evaluation and which reflects the investor's actual experience
• The Global Investment Performance Standards (GIPS) requirement for time-weighted returns and the narrow exceptions where dollar-weighted is permitted
• Sharpe ratio versus Treynor ratio: standard deviation (total risk) versus beta (systematic risk), and when each applies to a diversified portfolio or a single fund
• Jensen's alpha: how the Capital Asset Pricing Model (CAPM) sets a risk-adjusted expectation, and why a positive return can still produce negative alpha
• Expected return, real return (approximate and precise), tax-equivalent yield, and how to match a benchmark to a portfolio's style, capitalization size, and geography