Practical Portfolio Performance Measurement and Attribution / Wiley Finance Series (PDF)
(Sprache: Englisch)
Practical Performance Measurement and Attribution provides aclear introduction to the subject of performance measurement.Focusing more on the practical use and calculation of performancereturns rather than the academic background it will help readersgain a...
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Practical Performance Measurement and Attribution provides aclear introduction to the subject of performance measurement.Focusing more on the practical use and calculation of performancereturns rather than the academic background it will help readersgain a clear understanding of the role and implications ofperformance measurement in today's financial environment.
"Carl's book is a 'must have' resource -the complete A to Z of the increasingly complex field ofperformance measurement."
Glenn Solomon, Global Head of Institutional Clients, InvestmentReporting & Performance, BNP Paribas SecuritiesServices
"Internationally renowned authority Carl Bacon has providedwhat one would expect - an exceptionally well written andpractical resource that every investment performance measurementprofessional should own."
David Spaulding, President, The Spaulding Group
"Carl Bacon is one of the most knowledgeable professionals Iknow on the subject of Performance Measurement. He has been apioneer, leader, and teacher at the forefront of developments inglobal investment performance standards, performance attributiontechnique, and risk measurement. I am very pleased he has writtenthis timely and useful book as a complete reference and explanationupdate on these important subjects."
James Hollis, Managing Director, Cutter Associates
"Though the subject matter is complex, Carl strikes the rightbalance between theory and reality. This book should have apermanent spot on the desk of every performance practitioner. Iwill refer to it often."
Karyn Vincent, CFA, Vincent Performance Services LLC
"Whether you are a provider or a user of PerformanceAnalysis, this book is well structured, informative and truly apractical guide in every sense."
Gary Hilldrup, Global Head Performance, Risk & ClientReporting, Fortis Investments
"Carl's book is a 'must have' resource -the complete A to Z of the increasingly complex field ofperformance measurement."
Glenn Solomon, Global Head of Institutional Clients, InvestmentReporting & Performance, BNP Paribas SecuritiesServices
"Internationally renowned authority Carl Bacon has providedwhat one would expect - an exceptionally well written andpractical resource that every investment performance measurementprofessional should own."
David Spaulding, President, The Spaulding Group
"Carl Bacon is one of the most knowledgeable professionals Iknow on the subject of Performance Measurement. He has been apioneer, leader, and teacher at the forefront of developments inglobal investment performance standards, performance attributiontechnique, and risk measurement. I am very pleased he has writtenthis timely and useful book as a complete reference and explanationupdate on these important subjects."
James Hollis, Managing Director, Cutter Associates
"Though the subject matter is complex, Carl strikes the rightbalance between theory and reality. This book should have apermanent spot on the desk of every performance practitioner. Iwill refer to it often."
Karyn Vincent, CFA, Vincent Performance Services LLC
"Whether you are a provider or a user of PerformanceAnalysis, this book is well structured, informative and truly apractical guide in every sense."
Gary Hilldrup, Global Head Performance, Risk & ClientReporting, Fortis Investments
Inhaltsverzeichnis zu „Practical Portfolio Performance Measurement and Attribution / Wiley Finance Series (PDF)“
About the Author. Acknowledgements. 1 Introduction. Why measure portfolio performance? The purpose of this book. Reference. 2 The Mathematics of Portfolio Return. Simple return. Money-weighted returns. Time-weighted returns. Time-weighted versus money-weighted rates of return. Approximations to the time-weighted return. Hybrid methodologies. Which method to use? Self-selection. Annualized returns. Continuously compounded returns. Gross- and net-of-fee calculations. Portfolio component returns. Base currency and local returns. References. 3 Benchmarks. Benchmarks. Peer groups and universes. Notional funds. Excess return. 4 Risk. Definition of risk. Risk measures. Regression analysis. Relative risk. Return distributions. Downside risk. Fixed income risk. Which risk measures to use? Risk control structure. References. 5 Performance Attribution. Arithmetic attribution. Brinson and Fachler. Interaction. Geometric excess return attribution. Sector weights. Multi-period attribution. Smoothing algorithms. Risk-adjusted attribution. Multi-currency attribution. Geometric multi-currency attribution. Fixed income attribution. Attribution standards. References. 6 Performance Presentation Standards. Why do we need performance presentation standards? Advantages for asset managers. The standards. Verification. Investment Performance Council. Achieving compliance. Maintaining compliance. Reference. Appendix A Simple Attribution. Appendix B Multi-currency Attribution Methodology. Appendix C EIPC Guidance for Users of Attribution Analysis. Appendix D European Investment Performance Committee - Guidance on Performance Attribution Presentation. Appendix E The Global Investment Performance Standards. Bibliography. Index.
Bibliographische Angaben
- Autor: Carl R. Bacon
- 2005, 1. Auflage, 240 Seiten, Englisch
- Verlag: John Wiley & Sons
- ISBN-10: 0470856807
- ISBN-13: 9780470856802
- Erscheinungsdatum: 11.04.2005
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