Portfolio Performance Measurement And Benchmarking Chapter 16 Factor Model Barra Performance Attribution
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Jon A. Christopherson,David R. Carino,Wayne E. Ferson
Author : Jon A. Christopherson,David R. Carino,Wayne E. Ferson Publisher : McGraw Hill Professional Page : 18 pages File Size : 55,9 Mb Release : 2009-05-15 Category : Business & Economics ISBN : 9780071733229
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.
Jon A. Christopherson,David R. Carino,Wayne E. Ferson
Author : Jon A. Christopherson,David R. Carino,Wayne E. Ferson Publisher : McGraw Hill Professional Page : 482 pages File Size : 55,7 Mb Release : 2009-08-05 Category : Business & Economics ISBN : 9780071713665
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.
Jon A. Christopherson,David R. Carino,Wayne E. Ferson
Author : Jon A. Christopherson,David R. Carino,Wayne E. Ferson Publisher : McGraw Hill Professional Page : 17 pages File Size : 53,8 Mb Release : 2009-05-15 Category : Business & Economics ISBN : 9780071733243
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.
Jon A. Christopherson,David R. Carino,Wayne E. Ferson
Author : Jon A. Christopherson,David R. Carino,Wayne E. Ferson Publisher : McGraw Hill Professional Page : 13 pages File Size : 50,9 Mb Release : 2009-05-15 Category : Business & Economics ISBN : 9780071733205
Portfolio Performance Measurement and Benchmarking, Chapter 14 - Factor Models 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 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.
Jon A. Christopherson,David R. Carino,Wayne E. Ferson
Author : Jon A. Christopherson,David R. Carino,Wayne E. Ferson Publisher : McGraw Hill Professional Page : 16 pages File Size : 55,5 Mb Release : 2009-05-15 Category : Business & Economics ISBN : 9780071733168
Portfolio Performance Meaurement and Benchmarking: Fixed-Income Risk 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.
Jon A. Christopherson,David R. Carino,Wayne E. Ferson
Author : Jon A. Christopherson,David R. Carino,Wayne E. Ferson Publisher : McGraw Hill Professional Page : 12 pages File Size : 50,9 Mb Release : 2009-05-15 Category : Business & Economics ISBN : 9780071733212
Portfolio Performance Measurement and Benchmarking, Chapter 15 - Factors of Equity Returns in the United States 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.
Jon A. Christopherson,David R. Carino,Wayne E. Ferson
Author : Jon A. Christopherson,David R. Carino,Wayne E. Ferson Publisher : McGraw Hill Professional Page : 21 pages File Size : 50,8 Mb Release : 2009-05-15 Category : Business & Economics ISBN : 9780071733304
Portfolio Performance Measurement and Benchmarking, Chapter 24 - Styles, Factors, and Equity Benchmarks 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.
Jon A. Christopherson,David R. Carino,Wayne E. Ferson
Author : Jon A. Christopherson,David R. Carino,Wayne E. Ferson Publisher : McGraw Hill Professional Page : 14 pages File Size : 45,5 Mb Release : 2009-05-15 Category : Business & Economics ISBN : 9780071733137
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.
Author : Carl R. Bacon Publisher : CFA Institute Research Foundation Page : 68 pages File Size : 51,5 Mb Release : 2019-12-23 Category : Business & Economics ISBN : 9781944960902
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.
Jon A. Christopherson,David R. Carino,Wayne E. Ferson
Author : Jon A. Christopherson,David R. Carino,Wayne E. Ferson Publisher : McGraw Hill Professional Page : 28 pages File Size : 45,5 Mb Release : 2009-05-15 Category : Business & Economics ISBN : 9780071733250
Portfolio Performance Measurement and Benchmarking, Chapter 19 - Linking Attribution Effects 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.
Jon A. Christopherson,David R. Carino,Wayne E. Ferson
Author : Jon A. Christopherson,David R. Carino,Wayne E. Ferson Publisher : McGraw Hill Professional Page : 32 pages File Size : 49,8 Mb Release : 2009-05-15 Category : Business & Economics ISBN : 9780071733380
Portfolio Performance Measurement and Benchmarking, Chapter 32 - Determining Investment Style 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 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.
Jon A. Christopherson,David R. Carino,Wayne E. Ferson
Author : Jon A. Christopherson,David R. Carino,Wayne E. Ferson Publisher : McGraw Hill Professional Page : 24 pages File Size : 52,6 Mb Release : 2009-05-15 Category : Business & Economics ISBN : 9780071733311
Portfolio Performance Measurement and Benchmarking, Chapter 25 - Equity Style Indexes: Tools for Better Performance Evaluation and Plan Management 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.
Jon A. Christopherson,David R. Carino,Wayne E. Ferson
Author : Jon A. Christopherson,David R. Carino,Wayne E. Ferson Publisher : McGraw Hill Professional Page : 15 pages File Size : 48,9 Mb Release : 2009-05-15 Category : Business & Economics ISBN : 9780071733144
Portfolio Performance Measurement and Benchmarking, Chapter 8 - Estimating the Elements of the CAPM 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.