Investment Portfolio Selection And Performance Measurement

Investment Portfolio Selection And Performance Measurement Book in PDF, ePub and Kindle version is available to download in english. Read online anytime anywhere directly from your device. Click on the download button below to get a free pdf file of Investment Portfolio Selection And Performance Measurement book. This book definitely worth reading, it is an incredibly well-written.

Investment Portfolio Selection and Performance Measurement

Patrick Daum
Investment Portfolio Selection and Performance Measurement Book PDF

Author : Patrick Daum
Publisher : GRIN Verlag
Page : 23 pages
File Size : 51,8 Mb
Release : 2012-05-14
Category : Business & Economics
ISBN : 9783656190578

Get Book

Investment Portfolio Selection and Performance Measurement by Patrick Daum Pdf

Seminar paper from the year 2011 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3, South Bank University London (Business Faculty), course: Fondmanagement , language: English, abstract: Die Arbeit legt die Portfoliotheorie an Hand eine praktischen Beispiels dar. Auf der Basis von 10 Stocks aus dem FTSE 100 wird das optimale Portfolio errechnet und dessen Performance eingeordnet. ++++ According Warren Buffett, financial investors should never purchase a security, if they cannot accept that the value might be cut in half (Schömann-Finck, 2010). One of the most successful global investors has illustrated with this quote the risks involved in the business of financial investments. In order to optimize risk-return tradeoffs, scientific research has developed efficient diversification techniques. This paper examines the process of portfolio diversification based on a sample of 10 randomly selected securities. First the optimal portfolio is identified in order to evaluate its performance against the market trend via industry accepted benchmarking comparison tools in a second step. Finally, potential portfolio gains, achieved via diversification across additional asset classes, are discussed and evaluated. According to Bodie et al. (2008) the investment decision process can be separated into three major steps (see figure 1): Capital Allocation, Asset Allocation and Security Selection. For the purpose of this paper 100% of the available funds are assumed to be allocated into stocks. The portfolio created (see figure 2) consists of 10 randomly selected securities taken from the FTSE 100 index.

Portfolio Performance Evaluation

George O. Aragon,Wayne E. Ferson
Portfolio Performance Evaluation Book PDF

Author : George O. Aragon,Wayne E. Ferson
Publisher : Now Publishers Inc
Page : 123 pages
File Size : 50,7 Mb
Release : 2008
Category : Financial risk management
ISBN : 9781601980823

Get Book

Portfolio Performance Evaluation by George O. Aragon,Wayne E. Ferson Pdf

This paper provides a review of the methods for measuring portfolio performance and the evidence on the performance of professionally managed investment portfolios. Traditional performance measures, strongly influenced by the Capital Asset Pricing Model of Sharpe (1964), were developed prior to 1990. We discuss some of the properties and important problems associated with these measures. We then review the more recent Conditional Performance Evaluation techniques, designed to allow for expected returns and risks that may vary over time, and thus addressing one major shortcoming of the traditional measures. We also discuss weight-based performance measures and the stochastic discount factor approach. We review the evidence that these newer measures have produced on selectivity and market timing ability for professional managed investment funds. The evidence includes equity style mutual funds, pension funds, asset allocation style funds, fixed income funds and hedge funds.

Portfolio Performance Measurement and Benchmarking, Chapter 12 - Conditional Performance Evaluation

Jon A. Christopherson,David R. Carino,Wayne E. Ferson
Portfolio Performance Measurement and Benchmarking Chapter 12 Conditional Performance Evaluation Book PDF

Author : Jon A. Christopherson,David R. Carino,Wayne E. Ferson
Publisher : McGraw Hill Professional
Page : 14 pages
File Size : 42,9 Mb
Release : 2009-05-15
Category : Business & Economics
ISBN : 9780071733182

Get Book

Portfolio Performance Measurement and Benchmarking, Chapter 12 - Conditional Performance Evaluation 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.

The Complete Guide to Portfolio Performance

Georges Hubner,Pascal Francois
The Complete Guide to Portfolio Performance Book PDF

Author : Georges Hubner,Pascal Francois
Publisher : John Wiley & Sons
Page : 1095 pages
File Size : 54,6 Mb
Release : 2024-06-04
Category : Business & Economics
ISBN : 9781119930174

Get Book

The Complete Guide to Portfolio Performance by Georges Hubner,Pascal Francois Pdf

An intuitive and effective desk reference for performance measurement in asset and wealth management In The Complete Guide to Portfolio Performance: Appraise, Analyse, Act, a team of finance professors with extended practical experience deliver a hands-on desk reference for asset and wealth managers suitable for everyday use. Intuitively organized and full of concrete examples of the real-world implementation of the concepts discussed within, the book provides a comprehensive coverage of all important portfolio performance matters across 18 chapters of actionable and clearly described content. The authors have provided relevant cross-referencing where appropriate, “Key Takeaways and Equations” sections at the end of each chapter, and pointers to additional resources for anyone interested in pursuing further research. You'll also find: Discussions of more than a hundred classical and modern performance measures organized logically and with a focus on their applications Strategies for selecting appropriate performance measures based on your situation as a manager or investor Explanations of analytical techniques (statistical approaches, attribution, fund ratings...) enabling a comprehensive use of performance-related information Applications of portfolio performance criteria in concrete investment decision-making processes Highly actionable and logically organized material that's easy to find at a moment's notice A full set of pedagogical powerpoint slides and excel worksheets with all data and formulas Perfect for investors, portfolio managers, advisors, analysts, and regulators, The Complete Guide to Portfolio Performance is also a must-read reference for students and practitioners of asset and wealth management, as well as those pursuing certification such as CFA, CIPM, CIIA, and CAIA.

Investment Performance Measurement

William Bain
Investment Performance Measurement Book PDF

Author : William Bain
Publisher : Woodhead Publishing
Page : 226 pages
File Size : 43,8 Mb
Release : 1996-02-28
Category : Business & Economics
ISBN : 1855731959

Get Book

Investment Performance Measurement by William Bain Pdf

This book is split into four distinct sections to provide a complete account of investment performance measurement. The first section examines the development of the concept of performance measurement with the evolution of benchmarks and the increasing sophistication of performance analysis. The practical implications of performance measurement are tackled in the second section, with particular emphasis on the calculations that can be used to derive a rate of return for a fund and risk is also examined in detail. The third section covers the performance measurement of pension funds over the last 25 years and the lessons that can be learned about the investment performance and measurement process. The final section considers the future prospects for performance measurement and proposes potential future directions for the measurement of investment performance.

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 : 47,9 Mb
Release : 2009-05-15
Category : Business & Economics
ISBN : 9780071733229

Get Book

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 : 48,8 Mb
Release : 2023-01-18
Category : Business & Economics
ISBN : 9781119831969

Get Book

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.

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 : 984 pages
File Size : 54,7 Mb
Release : 2009-05-18
Category : Business & Economics
ISBN : 9780470473719

Get Book

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.

Portfolio Optimization and Performance Analysis

Jean-Luc Prigent
Portfolio Optimization and Performance Analysis Book PDF

Author : Jean-Luc Prigent
Publisher : CRC Press
Page : 451 pages
File Size : 47,7 Mb
Release : 2007-05-07
Category : Business & Economics
ISBN : 9781420010930

Get Book

Portfolio Optimization and Performance Analysis by Jean-Luc Prigent Pdf

In answer to the intense development of new financial products and the increasing complexity of portfolio management theory, Portfolio Optimization and Performance Analysis offers a solid grounding in modern portfolio theory. The book presents both standard and novel results on the axiomatics of the individual choice in an uncertain framework, cont

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 : 50,9 Mb
Release : 2011-02-23
Category : Business & Economics
ISBN : 9781119995470

Get Book

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.

Portfolio Performance Measurement and Benchmarking

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

Author : Jon A. Christopherson,David R. Carino,Wayne E. Ferson
Publisher : McGraw Hill Professional
Page : 482 pages
File Size : 55,9 Mb
Release : 2009-08-05
Category : Business & Economics
ISBN : 9780071713665

Get Book

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

In order to make sound investment choices, investors must know the projected return on investment in relation to the risk of not being paid. Benchmarks are excellent evaluators, but the failure to choose the right investing performance benchmark often leads to bad decisions or inaction, which inevitably results in lost profits. The first book of its kind, Portfolio Performance Measurement and Benchmarking is a complete guide to benchmarks and performace evaluation using benchmarks. In one inclusive volume, readers get foundational coverage on benchmark construction, as well as expert insight into specific benchmarks for asset classes and investment styles. Starting with the basics—such as return calculations and methods of dealing with cash flows—this thorough book covers a wide variety of performance measurement methodologies and evaluation techniques before moving into more technical material that deconstructs both the creation of indexes and the components of a desirable benchmark. Portfolio Performance Measurement and Benchmarking provides detailed coverage of benchmarks for: U.S. equities Global and international equities Fixed income Real estate The team of renowned authors offers illuminating opinions on the philosophy and development of equity indexes, while highlighting numerous mechanical problems inherent in building benchmarks and the implications of each one. Before you make your next investment, be certain your return will be worth the risk with Portfolio Performance Measurement and Benchmarking.

Portfolio Performance Measurement and Benchmarking, Chapter 7 - Some Foundations

Jon A. Christopherson,David R. Carino,Wayne E. Ferson
Portfolio Performance Measurement and Benchmarking Chapter 7 Some Foundations Book PDF

Author : Jon A. Christopherson,David R. Carino,Wayne E. Ferson
Publisher : McGraw Hill Professional
Page : 14 pages
File Size : 50,5 Mb
Release : 2009-05-15
Category : Business & Economics
ISBN : 9780071733137

Get Book

Portfolio Performance Measurement and Benchmarking, Chapter 7 - Some Foundations 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.

Investment Performance Measurement

Bruce J. Feibel
Investment Performance Measurement Book PDF

Author : Bruce J. Feibel
Publisher : John Wiley & Sons
Page : 371 pages
File Size : 48,5 Mb
Release : 2003-02-04
Category : Business & Economics
ISBN : 9780471268499

Get Book

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.

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 : 51,6 Mb
Release : 2009-05-15
Category : Business & Economics
ISBN : 9780071733243

Get Book

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.

Strategic and Tactical Asset Allocation

Henrik Lumholdt
Strategic and Tactical Asset Allocation Book PDF

Author : Henrik Lumholdt
Publisher : Springer
Page : 251 pages
File Size : 44,6 Mb
Release : 2018-07-21
Category : Business & Economics
ISBN : 9783319895543

Get Book

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.