Estimation of results of investment activity, Determination of profitability of investments - Investments

Evaluation of the results of investment activities

After studying the material of the fifth chapter, the reader will:


• ways of assessing the profitability for various participants of the investment process;

• the principles of calculating the weighted average and the weighted average return on investment;

• the basic rules for assessing the effectiveness of securities portfolio management using the measures of Traynor, Jensen and Sharpe;

• existing restrictions on the use of measures to assess the results of investment activities;

be able to

• Calculate the average values ​​of the money-weighted and time-weighted portfolio return;

• apply in practice the measures of Traynor, Jensen and Sharpe;

• choose an adequate measure to evaluate the results of investment activities;

own skills

• calculation of the IRR, weighted in time and money-weighted yield and their comparison;

• evaluation of the results of investment activities using the measures of Traynor, Jensen and Sharpe.

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The previous material gives an idea of ​​the first stages of the process of forming an investment portfolio - the evaluation of individual financial assets, the formation and restructuring of portfolios. Now we have to cover the last phase - how can investors evaluate the results of investment activity? Obviously, an adequate assessment of the results of portfolio investment should be based on a comparison of the yield achieved by the port

Fel and investment-related risk. In this regard, since one of the main components of the investment process evaluation is the return of financial resources, it is necessary to dwell on the ways of calculating the return on investments.

Determining the Return on Executed Investments

Before already it was noted that for an investor it is not difficult to calculate the yield of a security for a holding period: i

where - the yield of the financial asset at the end of the holding period; - the price of the financial asset at the end of the holding period; - the flow of money (dividend per share, interest on the bond) received for the holding period; - the price of the financial asset at the beginning of the holding period.

However, this formula is only applicable if, during the holding period, there are no changes in the value of that are not related to the investment process. Consider the following example:

Example 5.1. Suppose that we want to evaluate the activities of the management company of the investment fund "Vega" for March. As it was established, at the moment of termination of work on February 28, the net assets of the fund amounted to 120 million rubles. March 7 at 9.00 on the fund account received 30 million rubles. as additional contributions of participants of the fund. March 31 net assets of the fund amounted to 152.175 thousand rubles. What is the yield received by the fund for March?


If you calculate by the above formula and consider the initial amount of 120 thousand rubles, then we get

or 26.8% increase in the value of net assets for one month, which is a very high result. But in fact out of 32,175 million rubles. increase in net assets of the fund for March 30 million rubles. constitute additional contributions of fund participants that can not be considered the result of investment activities.

Or maybe take for an initial amount of 150 million rubles. immediately take into account 30 million rubles. additional contributions? In this case

or 1.45%. But this does not take into account those six days of March, when the fund account was only 120 million rubles.

It is clear that during the estimated period, the participants of the fund can repeatedly make additional contributions and withdraw part of the funds from the trust management of the fund. This makes it necessary to assess the yield of a managed portfolio taking into account inflows and outflows of cash.

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