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Zeus Asset Management, Inc.
內容大綱
In May 1998, the director of Research at Zeus Asset Management is reflecting on the current performance evaluation of Zeus's mutual funds (which include an equity fund, a bond fund, a balanced fund, and an international fund) and ways to improve the measurement of performance. Zeus has become increasingly aware that absolute returns, or relative returns (returns relative to a benchmark), will not suffice as a measurement of performance and that a measurement (or a series of measurements) of risk-adjusted performance must be added. Performance evaluation is key to structuring compensation and incentive schemes in general, as well as strategic planning for the company's future. Given Zeus's relatively risk-averse clientele, the "correct" measurement of risk is imperative. Students are asked to compute several measures of risk-adjusted performance. Familiarity with running regression models in Excel is required; alternatively, the case can be used to pursue that objective. The case comes with an Excel spreadsheet containing the relevant data (time series of returns [net of risk-free rate] of three mutual funds and corresponding benchmark indices).