In May 1998, the director of research at Zeus Asset Management on the current performance rating of investment funds Zeus (including an equity fund, a pension fund, a balanced fund and an international fund) reflect 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 measure of performance and that a measurement (or a series of measurements) of ri … Read more »

In May 1998, the director of research at Zeus Asset Management on the current performance rating of investment funds Zeus (including an equity fund, a pension fund, a balanced fund and an international fund) reflect 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 measure of performance and that a measurement (or a series of measurements) the risk-adjusted performance must be added. Performance evaluation is key to the structuring of remuneration and incentive systems in general, and strategic planning for the future of the company. Given relatively risk-averse clients of Zeus, the “correct” measure of risk is essential. Students are asked to calculate a number of measures of risk-adjusted performance. Familiarity with running regression models in Excel is required, alternatively, the case can be used to pursue this goal. The case comes with an Excel table with the relevant data (time series of returns [net of the risk-free rate] of three mutual funds and appropriate benchmark indices).
This is a Darden case study.
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Giorgos Allayannis
Source: Darden School of Business
7 pages.
Publication Date: Jul 31, 1998. Prod #: UV0084-PDF-ENG
Zeus Asset Management, Inc. HBR case solution

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