Plan for Unit 5
Portfolio performance evaluation.
Estimating beta
 Use your optimal weights at the stock level to compute
the weekly returns for your optimal portfolio since December. What is
the average weekly return of your portfolio? Annualize it. What is the
average weekly standard deviation? Annualize it. What is the Sharpe
ratio?(100min)
 Obtain the weekly returns on the market (SP500 ETF) since
December. Compare your portfolio return with the benchmark return
(you will need to obtain the weekly SPY returns since December). What
is the incremental (excess) return of your portfolio relative to the
SPY? (40min)
 What is the correlation between your portfolio and the
benchmark?(20min)

Regress your portfolio weekly returns on the market weekly
returns. What is the regression beta, the regression Rsquared, and
regression error term? Compute the standar deviation of the regression
errors. (40min)
 What is Jensen's alpha? (20min)

What is the tracking error of the portfolio?
What is the information ratio? (50min)

What is the market timing component of your portfolio's performance
relative to the benchmark? What is the security selection component of
your outperformance/underperfomance?(40min)

What is the M2 measure? (30min)

Did you outperform the benchmark? (30min)