Investment Performance Attribution

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Practical Portfolio Performance Measurement and Attribution

Carl R. Bacon
Practical Portfolio Performance Measurement and Attribution Book PDF

Author : Carl R. Bacon
Publisher : John Wiley & Sons
Page : 488 pages
File Size : 44,6 Mb
Release : 2011-02-23
Category : Business & Economics
ISBN : 9781119995470

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Practical Portfolio Performance Measurement and Attribution by Carl R. Bacon Pdf

Performance measurement and attribution are key tools in informing investment decisions and strategies. Performance measurement is the quality control of the investment decision process, enabling money managers to calculate return, understand the behaviour of a portfolio of assets, communicate with clients and determine how performance can be improved. Focusing on the practical use and calculation of performance returns rather than the academic background, Practical Portfolio Performance Measurement and Attribution provides a clear guide to the role and implications of these methods in today's financial environment, enabling readers to apply their knowledge with immediate effect. Fully updated from the first edition, this book covers key new developments such as fixed income attribution, attribution of derivative instruments and alternative investment strategies, leverage and short positions, risk-adjusted performance measures for hedge funds plus updates on presentation standards. The book covers the mathematical aspects of the topic in an accessible and practical way, making this book an essential reference for anyone involved in asset management.

Investment Performance Attribution

David Spaulding
Investment Performance Attribution Book PDF

Author : David Spaulding
Publisher : McGraw Hill Professional
Page : 280 pages
File Size : 41,9 Mb
Release : 2003
Category : Business & Economics
ISBN : 0071408851

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Investment Performance Attribution by David Spaulding Pdf

Investment Performance Attribution involves identifying and quantifying those activities that increase investment return above a given benchmark--and is the hottest topic in institutional investing today. Investment Performance Attribution is the first book to provide clear and in-depth coverage of how and when to use the varying forms of attribution. It makes necessarily high-level attribution mathematics accessible, and will become an essential reference for professional money managers and institutional investors.

Performance Attribution: History and Progress

Carl R. Bacon
Performance Attribution History and Progress Book PDF

Author : Carl R. Bacon
Publisher : CFA Institute Research Foundation
Page : 68 pages
File Size : 51,7 Mb
Release : 2019-12-23
Category : Business & Economics
ISBN : 9781944960902

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Performance Attribution: History and Progress by Carl R. Bacon Pdf

The objective of performance attribution is to explain portfolio performance relative to a benchmark, identify the sources of excess return, and relate those sources to active decisions by the portfolio manager. This review charts the development of attribution from its beginning with Fama decomposition in the 1970s, through its foundations in the 1980s, into its issues of multiperiod and multicurrency attribution in the 1990s, and ending on its more detailed models for fixed-income and risk-adjusted attribution in recent years. Types of attribution (including returns based, holdings based, and transaction based) are also discussed as is money-weighted attribution and developments associated with notional funds.

Performance Evaluation and Attribution of Security Portfolios

Bernd R. Fischer,Russ Wermers
Performance Evaluation and Attribution of Security Portfolios Book PDF

Author : Bernd R. Fischer,Russ Wermers
Publisher : Academic Press
Page : 724 pages
File Size : 51,7 Mb
Release : 2012-12-31
Category : Business & Economics
ISBN : 9780080926520

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Performance Evaluation and Attribution of Security Portfolios by Bernd R. Fischer,Russ Wermers Pdf

Just how successful is that investment? Measuring portfolio performance requires evaluation (measuring portfolio results against benchmarks) and attribution (determining individual results of the portfolio's parts), In this book, a professor and an asset manager show readers how to use theories, applications, and real data to understand these tools. Unlike others, Fischer and Wermers teach readers how to pick the theories and applications that fit their specific needs. With material inspired by the recent financial crisis, Fischer and Wermers bring new clarity to defining investment success. Gives readers the theories and the empirical tools to handle their own data Features practice problems formerly from the CFA Program curriculum.

Machine Learning for Asset Management

Emmanuel Jurczenko
Machine Learning for Asset Management Book PDF

Author : Emmanuel Jurczenko
Publisher : John Wiley & Sons
Page : 460 pages
File Size : 43,8 Mb
Release : 2020-10-06
Category : Business & Economics
ISBN : 9781786305442

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Machine Learning for Asset Management by Emmanuel Jurczenko Pdf

This new edited volume consists of a collection of original articles written by leading financial economists and industry experts in the area of machine learning for asset management. The chapters introduce the reader to some of the latest research developments in the area of equity, multi-asset and factor investing. Each chapter deals with new methods for return and risk forecasting, stock selection, portfolio construction, performance attribution and transaction costs modeling. This volume will be of great help to portfolio managers, asset owners and consultants, as well as academics and students who want to improve their knowledge of machine learning in asset management.

Mastering Attribution in Finance

Andrew Colin
Mastering Attribution in Finance Book PDF

Author : Andrew Colin
Publisher : Pearson UK
Page : 266 pages
File Size : 49,9 Mb
Release : 2016-02-01
Category : Business & Economics
ISBN : 9781292114057

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Mastering Attribution in Finance by Andrew Colin Pdf

Mastering Attribution in Finance is a comprehensive guide to how attribution is used in equity and fixed income markets. As with all Mastering titles, this book is written by an expert in the field. The book: Presents a structure overview of attribution in finance Provides a complete mathematical toolkit, including all the necessary formulae Covers all the key models, such as The Campisi model, Duration attribution, the Tim Lord model, key rate attribution, top-down attribution, Karnosky-Singer attribution model, Parametric and non-parametric yield curve models, Brinson attribution Includes tricks and techniques for trading specific types of fixed income security The full text downloaded to your computer With eBooks you can: search for key concepts, words and phrases make highlights and notes as you study share your notes with friends eBooks are downloaded to your computer and accessible either offline through the Bookshelf (available as a free download), available online and also via the iPad and Android apps. Upon purchase, you'll gain instant access to this eBook. Time limit The eBooks products do not have an expiry date. You will continue to access your digital ebook products whilst you have your Bookshelf installed.

Investment Performance Measurement

Philip Lawton, CIPM,Todd Jankowski, CFA
Investment Performance Measurement Book PDF

Author : Philip Lawton, CIPM,Todd Jankowski, CFA
Publisher : John Wiley & Sons
Page : 997 pages
File Size : 50,5 Mb
Release : 2009-04-28
Category : Business & Economics
ISBN : 9780470395028

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Investment Performance Measurement by Philip Lawton, CIPM,Todd Jankowski, CFA Pdf

Investment Performance Measurement Over the past two decades, the importance of measuring, presenting, and evaluating investment performance results has dramatically increased. With the growth of capital market data services, the development of quantitative analytical techniques, and the widespread acceptance of Global Investment Performance Standards (GIPS®), this discipline has emerged as a central component of effective asset management and, thanks in part to the Certificate in Investment Performance Measurement (CIPM) program, has become a recognized area of specialization for investment professionals. That's why Investment Performance Measurement: Evaluating and Presenting Results the second essential title in the CFA Institute Investment Perspectives series has been created. CFA Institute has a long tradition of publishing content from industry thought leaders, and now this new collection offers unparalleled guidance to those working in the rapidly evolving field of investment management. Drawing from the Research Foundation of CFA Institute, the Financial Analysts Journal, CFA Institute Conference Proceedings Quarterly, CFA Magazine, and the CIPM curriculum, this reliable resource taps into the vast store of knowledge of some of today's most prominent thought leaders from industry professionals to respected academics who have focused on investment performance evaluation for a majority of their careers. Divided into five comprehensive parts, this timely volume opens with an extensive overview of performance measurement, attribution, and appraisal. Here, you'll become familiar with everything from the algebra of time-weighted and money-weighted rates of return to the objectives and techniques of performance appraisal. After this informative introduction, Investment Performance Measurement moves on to: Provide a solid understanding of the theoretical grounds for benchmarking and the trade-offs encountered during practice in Part II: Performance Measurement Describe the different aspects of attribution analysis as well as the determinants of portfolio performance in Part III: Performance Attribution Address everything from hedge fund risks and returns to fund management changes and equity style shifts in Part IV: Performance Appraisal Recount the history and explain the provisions of the GIPS standards with attention paid to the many practical issues that arise in the course of its implementation in Part V: Global Investment Performance Standards Filled with invaluable insights from more than fifty experienced contributors, this practical guide will enhance your understanding of investment performance measurement and put you in a better position to present and evaluate results in the most effective way possible.

Investment Performance Measurement

Bruce J. Feibel
Investment Performance Measurement Book PDF

Author : Bruce J. Feibel
Publisher : John Wiley & Sons
Page : 369 pages
File Size : 45,7 Mb
Release : 2003-04-21
Category : Business & Economics
ISBN : 9780471445630

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Investment Performance Measurement by Bruce J. Feibel Pdf

Many investment books include a chapter or two on investment performance measurement or focus on a single aspect, but only one book addresses the breadth of the field. Investment Performance Measurement is a comprehensive guide that covers the subjects of performance and risk calculation, attribution, presentation, and interpretation. This information-packed book covers a wide range of related topics, including calculation of the returns earned by portfolios; measurement of the risks taken to earn these returns; measurement of the risk and return efficiency of the portfolio and other indicators of manager skill; and much more. By reviewing both the concepts of performance measurement and examples of how they are used, readers will gain the insight necessary to understand and evaluate the management of investment funds. Investment Performance Measurement makes extensive use of fully worked examples that supplement formulas and is a perfect companion to professional courses and seminars for analysts. Bruce J. Feibel, CFA, is Product Manager at Eagle Investment Systems, an investment management software provider located in Newton, Massachusetts. He is responsible for overseeing the development of Eagle's investment performance measurement, attribution, and AIMR/GIPS compliance software. Prior to joining Eagle, Mr. Feibel was a principal at State Street Global Advisors. He earned his BS in accounting from the University of Florida.

Advanced Portfolio Attribution Analysis

Carl R. Bacon
Advanced Portfolio Attribution Analysis Book PDF

Author : Carl R. Bacon
Publisher : Risk
Page : 397 pages
File Size : 49,6 Mb
Release : 2007
Category : Investment analysis
ISBN : 190433993X

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Advanced Portfolio Attribution Analysis by Carl R. Bacon Pdf

A new multi-contributor title presenting you with a complete range of perspectives on the very latest research, cutting-edge ideas and current approaches to portfolio return and risk attribution. Contains key information to facilitate your investment decision-making process.

Quantitative Management of Bond Portfolios

Lev Dynkin,Anthony Gould,Jay Hyman,Vadim Konstantinovsky,Bruce Phelps
Quantitative Management of Bond Portfolios Book PDF

Author : Lev Dynkin,Anthony Gould,Jay Hyman,Vadim Konstantinovsky,Bruce Phelps
Publisher : Princeton University Press
Page : 1000 pages
File Size : 48,9 Mb
Release : 2020-05-26
Category : Business & Economics
ISBN : 9780691210612

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Quantitative Management of Bond Portfolios by Lev Dynkin,Anthony Gould,Jay Hyman,Vadim Konstantinovsky,Bruce Phelps Pdf

The practice of institutional bond portfolio management has changed markedly since the late 1980s in response to new financial instruments, investment methodologies, and improved analytics. Investors are looking for a more disciplined, quantitative approach to asset management. Here, five top authorities from a leading Wall Street firm provide practical solutions and feasible methodologies based on investor inquiries. While taking a quantitative approach, they avoid complex mathematical derivations, making the book accessible to a wide audience, including portfolio managers, plan sponsors, research analysts, risk managers, academics, students, and anyone interested in bond portfolio management. The book covers a range of subjects of concern to fixed-income portfolio managers--investment style, benchmark replication and customization, managing credit and mortgage portfolios, managing central bank reserves, risk optimization, and performance attribution. The first part contains empirical studies of security selection versus asset allocation, index replication with derivatives and bonds, optimal portfolio diversification, and long-horizon performance of assets. The second part covers portfolio management tools for risk budgeting, bottom-up risk modeling, performance attribution, innovative measures of risk sensitivities, and hedging risk exposures. A first-of-its-kind publication from a team of practitioners at the front lines of financial thinking, this book presents a winning combination of mathematical models, intuitive examples, and clear language.

Portfolio Performance Measurement and Benchmarking, Chapter 16 - Factor Model (Barra) Performance Attribution

Jon A. Christopherson,David R. Carino,Wayne E. Ferson
Portfolio Performance Measurement and Benchmarking Chapter 16 Factor Model Barra Performance Attribution Book PDF

Author : Jon A. Christopherson,David R. Carino,Wayne E. Ferson
Publisher : McGraw Hill Professional
Page : 18 pages
File Size : 52,8 Mb
Release : 2009-05-15
Category : Business & Economics
ISBN : 9780071733229

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Portfolio Performance Measurement and Benchmarking, Chapter 16 - Factor Model (Barra) Performance Attribution by Jon A. Christopherson,David R. Carino,Wayne E. Ferson Pdf

Here is a chapter from Portfolio Performance Measurement and Benchmarking, which will help you create a system you can use to accurately measure your performance. The authors highlight common mechanical problems involved in building benchmarks and clearly illustrate the resulting fallouts. The failure to choose the right investing performance benchmarks often leads to bad decisions or inaction and, inevitably, lost profits. In this book you will discover a foundation for benchmark construction and discuss methods for all different asset classes and investment styles.

Practical Portfolio Performance Measurement and Attribution

Carl R. Bacon
Practical Portfolio Performance Measurement and Attribution Book PDF

Author : Carl R. Bacon
Publisher : John Wiley & Sons
Page : 569 pages
File Size : 42,5 Mb
Release : 2023-01-18
Category : Business & Economics
ISBN : 9781119831969

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Practical Portfolio Performance Measurement and Attribution by Carl R. Bacon Pdf

A practitioner's guide to the role and implications of performance measurement and attribution analysis in asset management firms Practical Portfolio Performance Measurement and Attribution is a comprehensive reference and guide to the use and calculation of performance returns in the investment decision process. Focusing on real-world application rather than academic theory, this highly practical book helps asset managers and investors determine return on assets, analyse portfolio behaviour and improve performance. Author Carl R. Bacon clearly describes each of the methodologies used by performance analysts in today's financial environment whilst sharing valuable insights drawn from his experience as a Director of Performance Measurement & Risk Control. The third edition is revised to reflect recent developments in performance attribution and presentation standards. Fully up-to-date chapters cover the entire performance measurement process, including return calculations, attribution methodologies, risk measures, manager selection and presentation of performance information. Written by an acknowledged leader in global investment performance standards, performance attribution technique and risk measurement Aligns with the publication of the 2020 Global Investment Performance Standards (GIPS®) Explains the mathematical aspects of performance measurement and attribution in a clear, easy-to-understand manner Provides numerous practical and worked examples of attribution analysis and risk calculations supported by Excel spreadsheets Includes signposts for the future development of performance measurement Practical Portfolio Performance Measurement and Attribution, Third Edition, remains a must-have for performance analysts and risk controllers, portfolio managers, compliance professionals and all asset managers, owners, consultants and servicing firms.

Strategic and Tactical Asset Allocation

Henrik Lumholdt
Strategic and Tactical Asset Allocation Book PDF

Author : Henrik Lumholdt
Publisher : Springer
Page : 251 pages
File Size : 49,6 Mb
Release : 2018-07-21
Category : Business & Economics
ISBN : 9783319895543

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Strategic and Tactical Asset Allocation by Henrik Lumholdt Pdf

This book covers each step in the asset allocation process, addressing as many of the relevant questions as possible along the way. How can we formulate expectations about long-term returns? How relevant are valuations? What are the challenges to optimizing the portfolio? Can factor investing add value and, if so, how can it be implemented? Which are the key performance drivers for each asset class, and what determines how they are correlated? How can we apply insights about the business cycle to tactical asset allocation? The book is aimed at finance professionals and others looking for a coherent framework for decision-making in asset allocation, both at the strategic and tactical level. It stresses analysis rather than pre-conceived ideas about investments, and it draws on both empirical research and practical experience to give the reader as strong a background as possible.

Portfolio Performance Measurement and Benchmarking, Chapter 18 - Performance Attribution

Jon A. Christopherson,David R. Carino,Wayne E. Ferson
Portfolio Performance Measurement and Benchmarking Chapter 18 Performance Attribution Book PDF

Author : Jon A. Christopherson,David R. Carino,Wayne E. Ferson
Publisher : McGraw Hill Professional
Page : 17 pages
File Size : 43,9 Mb
Release : 2009-05-15
Category : Business & Economics
ISBN : 9780071733243

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Portfolio Performance Measurement and Benchmarking, Chapter 18 - Performance Attribution by Jon A. Christopherson,David R. Carino,Wayne E. Ferson Pdf

Here is a chapter from Portfolio Performance Measurement and Benchmarking, which will help you create a system you can use to accurately measure your performance. The authors highlight common mechanical problems involved in building benchmarks and clearly illustrate the resulting fallouts. The failure to choose the right investing performance benchmarks often leads to bad decisions or inaction and, inevitably, lost profits. In this book you will discover a foundation for benchmark construction and discuss methods for all different asset classes and investment styles.

Fixed Income Attribution

Andrew Colin
Fixed Income Attribution Book PDF

Author : Andrew Colin
Publisher : John Wiley & Sons
Page : 162 pages
File Size : 50,8 Mb
Release : 2005-05-05
Category : Business & Economics
ISBN : 9780470013588

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Fixed Income Attribution by Andrew Colin Pdf

Fixed income attribution is by its very nature a complex and mathematically demanding topic, and there is little information available on this area. Fixed Income Attribution has been written to fill this tremendous void. This comprehensive resource contains both theoretical and practical information about running and understanding fixed income attribution, including the mathematics of attribution, practical limitations, benchmarks, presentation tools, and choosing and running an attribution system. Filled with insightful examples and expert advice, Fixed Income Attribution is the perfect source of information for those working in this complex environment.