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You
are here:
 Business Performance > Methodologies
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"KWAP achieved net ROI and TWRR of
10.04% and 11.64%
respectively in 2009"
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| Methodologies |
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| Performance Metrics |
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Basic Performance
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Active Management
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Asset-class Specific
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Total Return |
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Standard deviation |
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Sharpe Ratio |
- Captures both Investments income
and unrealized capital gains
- Adoption of FRS standards required
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- Measures riskiness of returns
- Enables estimation of risk-adjusted
returns.
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- Measures excess return over risk-free
per unit
- Enable overall portfolio appraisal
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| Active
Return |
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Active
risk/tracking error |
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Information
ratio |
- Return over benchmark
- Captures positive or negative effect
of active management
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- Measure risk of active returns
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- Measure excess return over benchmark
per unit of active risk
- Enable TAA and manager appraisal
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| Beta |
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Duration
& convexity |
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Internal
rate of return |
- Measures sensitivity of equity portfolio returns to
market movements
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- Measure sensitivity of
- Bond prices to interest-rate
changes
- duration to changes interest
rates
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- Most commonly used private equity
metric
- Measures compound growth rate of
returns on investments
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| Portfolio Return (TWRR) |
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Portfolio Return
(TWRR)
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= |
MVE - 0.5*(P - S - I)
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-1 |
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MVB + 0.5*(P - S - I)
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| Excess Returns (Alpha)
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Excess Returns (Alpha)
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= |
Portfolio Return (Rp) - Benchmark Return (Rb) |
| Tracking Error (TE)
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Tracking Error
(TE)
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= |
Standard Deviation of Excess Returns x square root (12) |
| Sharpe Ratio |
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Sharpe Ratio
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= |
Avg
Return (TWRR) - Avg Risk Free Rate
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Std Deviation of Return (TWRR) |
| Return on Investment
(ROI) |
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Return on Investment (ROI)
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Realized Income
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0.5 * (Book Value Beginning + Book Value Ending)
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| MDuration |
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MDuration
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= |
Duration
1+ (Market
Yield /Coupon Payment per year)
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