Practical Portfolio Performance Measurement And Attribution

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Practical Portfolio Performance Measurement and Attribution

Author : Carl R. Bacon
Publisher : John Wiley & Sons
Page : 402 pages
File Size : 52,5 Mb
Release : 2011-02-23
Category : Business & Economics
ISBN : 1119995477

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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.

Practical Portfolio Performance Measurement and Attribution

Author : Carl R. Bacon
Publisher : John Wiley & Sons
Page : 569 pages
File Size : 43,8 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.

Portfolio Performance Measurement and Benchmarking

Author : Jon A. Christopherson,David R. Carino,Wayne E. Ferson
Publisher : McGraw Hill Professional
Page : 480 pages
File Size : 41,5 Mb
Release : 2009-08-05
Category : Business & Economics
ISBN : 9780071713665

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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.

Performance Evaluation and Attribution of Security Portfolios

Author : Bernd R. Fischer,Russ Wermers
Publisher : Academic Press
Page : 724 pages
File Size : 52,7 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.

Outlines and Highlights for Practical Portfolio Performance Measurement and Attribution by Carl R Bacon, Isbn

Author : Cram101 Textbook Reviews
Publisher : Academic Internet Pub Incorporated
Page : 76 pages
File Size : 55,6 Mb
Release : 2010-12
Category : Education
ISBN : 1617448303

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Outlines and Highlights for Practical Portfolio Performance Measurement and Attribution by Carl R Bacon, Isbn by Cram101 Textbook Reviews Pdf

Never HIGHLIGHT a Book Again! Virtually all of the testable terms, concepts, persons, places, and events from the textbook are included. Cram101 Just the FACTS101 studyguides give all of the outlines, highlights, notes, and quizzes for your textbook with optional online comprehensive practice tests. Only Cram101 is Textbook Specific. Accompanys: 9780470059289 .

Performance Attribution: History and Progress

Author : Carl R. Bacon
Publisher : CFA Institute Research Foundation
Page : 68 pages
File Size : 49,7 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.

Practical Risk-Adjusted Performance Measurement

Author : Carl R. Bacon
Publisher : John Wiley & Sons
Page : 236 pages
File Size : 44,5 Mb
Release : 2012-10-05
Category : Business & Economics
ISBN : 9781118391525

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Practical Risk-Adjusted Performance Measurement by Carl R. Bacon Pdf

A practitioner's guide to ex-post performance measurement techniques Risk within asset management firms has an undeserved reputation for being an overly complex, mathematical subject. This book simplifies the subject and demonstrates with practical examples that risk is perfectly straightforward and not as complicated as it might seem. Unlike most books written on portfolio risk, which generally focus on ex-ante risk from an academic perspective using complicated language and no worked examples, this book focuses on ex-post risk from a buy side, asset management, risk practitioners perspective, including a number of practical worked examples for risk measures and their interpretation.

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

Author : Jon A. Christopherson,David R. Carino,Wayne E. Ferson
Publisher : McGraw Hill Professional
Page : 18 pages
File Size : 41,9 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.

Fixed-Income Portfolio Analytics

Author : David Jamieson Bolder
Publisher : Springer
Page : 544 pages
File Size : 45,7 Mb
Release : 2015-02-02
Category : Business & Economics
ISBN : 9783319126678

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Fixed-Income Portfolio Analytics by David Jamieson Bolder Pdf

The book offers a detailed, robust, and consistent framework for the joint consideration of portfolio exposure, risk, and performance across a wide range of underlying fixed-income instruments and risk factors. Through extensive use of practical examples, the author also highlights the necessary technical tools and the common pitfalls that arise when working in this area. Finally, the book discusses tools for testing the reasonableness of the key analytics to help build and maintain confidence for using these techniques in day-to-day decision making. This will be of keen interest to risk managers, analysts and asset managers responsible for fixed-income portfolios.

Advanced Portfolio Attribution Analysis

Author : Carl R. Bacon
Publisher : Risk
Page : 397 pages
File Size : 49,7 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.

Pricing, Risk, and Performance Measurement in Practice

Author : Wolfgang Schwerdt,Marcelle von Wendland
Publisher : Academic Press
Page : 398 pages
File Size : 45,9 Mb
Release : 2009-10-22
Category : Business & Economics
ISBN : 0080923046

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Pricing, Risk, and Performance Measurement in Practice by Wolfgang Schwerdt,Marcelle von Wendland Pdf

How can managers increase their ability to calculate price and risk data for financial instruments while decreasing their dependence on a myriad of specific instrument variants? Wolfgang Schwerdt and Marcelle von Wendland created a simple and consistent way to handle and process large amounts of complex financial data. By means of a practical framework, their approach analyzes market and credit risk exposure of financial instruments and portfolios and calculates risk adjusted performance measures. Its emphasis on standardization yields significant improvements in speed and accuracy. Schwerdt and von Wendland's focus on practical implementation directly addresses limitations imposed by the complex and costly processing time required for advanced risk management models and pricing hundreds of thousands of securities each day. Their many examples and programming codes demonstrate how to use standards to build financial instruments, how to price them, and how to measure the risk and performance of the portfolios that include them. Feature: The authors have designed and implemented a standard for the description of financial instruments Benefit: The reader can rely on accurate and valid information about describing financial instruments Feature: The authors have developed an approach for pricing and analyzing any financial instrument using a limited set of atomic instruments Benefit: The reader can use these instruments to define and set up even very large numbers of financial instruments. Feature: The book builds a practical framework for analysing the market and credit risk exposure of financial instruments and portfolios Benefit: Readers can use this framework today in their work and identify and measure market and credit risk using a reliable method.

Investment Performance Attribution

Author : David Spaulding
Publisher : McGraw Hill Professional
Page : 280 pages
File Size : 49,5 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.

Investment Performance Measurement

Author : Bruce J. Feibel
Publisher : John Wiley & Sons
Page : 368 pages
File Size : 50,5 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.

Portfolio Performance Measurement and Benchmarking, Chapter 18 - Performance Attribution

Author : Jon A. Christopherson,David R. Carino,Wayne E. Ferson
Publisher : McGraw Hill Professional
Page : 17 pages
File Size : 52,6 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.

Quantitative Equity Portfolio Management

Author : Ludwig B Chincarini,Daehwan Kim
Publisher : McGraw Hill Professional
Page : 658 pages
File Size : 45,5 Mb
Release : 2010-08-18
Category : Business & Economics
ISBN : 0071492380

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Quantitative Equity Portfolio Management by Ludwig B Chincarini,Daehwan Kim Pdf

Quantitative Equity Portfolio Management brings the orderly structure of fundamental asset management to the often-chaotic world of active equity management. Straightforward and accessible, it provides you with nuts-and-bolts details for selecting and aggregating factors, building a risk model, and much more.