Practical Portfolio Performance Measurement and Attribution
John Wiley & Sons, 23 lut 2011 - 400
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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actual additional adjusted analysis applied appropriate arithmetic asset allocation asset managers attribution average basis beginning benchmark return bonds calculated capital carve-out claim client compliance composite compounding consistent contracts contribution cost currency return defined definition determine deviation disclosure distribution duration effects Equation equities error example excess return Exhibit external cash flow factors fees Figure firm firm’s FIRMS MUST disclose fixed follows fund futures geometric GIPS standards hedged impact income individual interest internal investment management Investment Performance January linked market value method methodology modified negative notional performance measurement period policies portfolio manager portfolio return positive presentation rate of return ratio record reference relative reporting represents revised risk Sample securities separate significant specific stock selection strategy systematic Table time-weighted track transaction UK equities underlying valuation verification weight yield