Portfolio Performance Evaluation
Your evaluation should include holding period returns for each stock and each portfolio. The Treynor measure should be reported for each stock and for the portfolio (use reported betas only – do not calculate beta).
You should also calculate other measures you think are appropriate. You should conduct a modified Performance Attribution Analysis. That is, tell me how well your chosen sectors performed relative others and how your stocks fared relative to their sector index.
The purpose of a portfolio evaluation is to establish how well the securities in your portfolio met their investment objective. A performance evaluation generally results in a re-balancing of the portfolio. This includes a change in the portfolio components or a change in the weights of individual components to more closely align the portfolio with its objectives. So, you would be selling stocks in the value portfolio that have significantly appreciated in price and replacing them with other value stocks.
Your evaluation should include a discussion of its success in meeting its objective, a discussion of why it did or did not meet its objective, and recommendations for required changes in the portfolio (no, you don’t have to provide a list of replacement stocks).
Evaluate all positions AT the close of trading on Friday, November 27th.
REPORT FORMAT
General: You should briefly summarize the purpose, selection procedure, and performance of the portfolio, including a table of relevant information and the performance for each stock and the portfolio. I should be able to read this page and quickly glean the basic strategy and how the portfolio performed based on this strategy. Discuss the portfolio’s performance relative to expectations, relevant benchmark, and suggest adjustments you would make at this time to maintain the portfolio’s character. Note: You should indicate how well a security or portfolio performed relative to its sector by comparing the return to the return on a sector ETF. [1]
Tables: Use the table template posted in the files section It should contain your selection criteria, dates purchased, and performance measures (HPRs, prices, risk-adjusted performance measures) for each security and for the portfolio. Provide graphs if appropriate (not required). The reader (me) should be able to glean the basic objective of the portfolio and its performance simply by studying the table. For example, the value portfolio should report beginning and ending P/B ratios of the stocks, as well as the additional screening criteria. Include the return on relevant benchmark or benchmarks. The S&P 500 is a good choice in general, but relevant sector or industry benchmarks should be reported as well.
[1] Use equal weighting of securities for ease of calculation.
Sheet1
| Performance Evaluation | |
| Random Portfolio Gary Porter: Gary Porter: One table for each of: Random Value Top Down |
|
| Company | |
| Ticker | |
| Sector | |
| Industry | |
| Date purchased Price | |
| Close 11/27/2020 | |
| Dollar Change | |
| Dividend | |
| HPR | |
| Treasury rate | |
| Treynor | |
| Significant Measures Gary Porter: Gary Porter: These are examples. Use only those relevant to a specific portfolio |
|
| Beta | |
| EPS TTM | |
| Forward Earnings | |
| Market Cap ($bil) | |
| PEG | |
| Index ETF date purchased Gary Porter: Gary Porter: Each column contains relevant sector return |
|
| Index ETF Nov 27 | |
| Sector HPR | |
| +/- Sector HPR | |
| Portfolio HPR | |
| S&P 500 Date Purchased | |
| S&P 500 Nov 27 | |
| S&P 500 HPR | |
| +/- S&P 500 HPR Porter, Gary: Porter, Gary: Difference between your portfolio and the S&P 500 |
|
| Average Beta | |
| Portfolio Treynor | |
| S&P 500 Treynor | |
| +/- S&P 500 Treynor |