Practical Portfolio Performance Measurement and Attribution
John Wiley & Sons, 23 lut 2011 - 402
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.
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Practical Portfolio Performance Measurement and Attribution, with CD-ROM
Carl R. Bacon
Ograniczony podgląd - 2008
annualised asset allocation asset class asset managers attribution analysis attribution effects average base currency beginning 1 January benchmark return bonds Brinson calculated in Exhibit calculation methodology carve-out CFA Institute claim of compliance claiming compliance client composite returns compounding currency overlay currency return defined disclosure drawdown duration Equation equities 30 external cash flow ﬁrm firm’s FIRMS MUST disclose fixed income fon/vard geometric excess return GIPS standards Guidance Statement hedged impact investment decision process investment management Investment Performance Standards investors Japanese equities market value method money-weighted notional fund performance fee performance measurement performance presentation performance record period Portfolio Benchmark portfolio manager portfolio return PRIVATE EQUITY rate of return retum return attribution return calculation revised risk-free rate Sample semi-notional Sharpe ratio Significant Cash Flows Sortino ratio standard deviation Supplemental Information systematic risk Table time-weighted return tracking error Treynor ratio Ulcer index valuation verification weight yield curve