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Portfolio performance measurement and benchmarking

Author: Jon A Christopherson; David Runge Cariño; Wayne E Ferson
Publisher: New York : McGraw-Hill, ©2009.
Series: McGraw-Hill finance & investing.
Edition/Format:   Print book : EnglishView all editions and formats
Database:WorldCat
Summary:

This state-of-the-art guidebook to performance evaluation of managed asset portfolios covers a wide variety of performance measurement methodologies and evaluation techniques.

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Jon A Christopherson; David Runge Cariño; Wayne E Ferson
ISBN: 9780071496650 0071496653
OCLC Number: 370669990
Notes: Series statement from jacket.
Description: xii, 466 pages : illustrations ; 24 cm.
Contents: What is performance and benchmarking? --
Asset class return expectations --
Returns without cash flows --
Average returns --
Returns in the presence of cash flows --
Comparing two portfolio returns --
Some foundations --
Estimating the elements of the CAPM --
What is risk? --
Risk-adjusted return measures --
Fixed-income risk --
Conditional performance evaluation --
Market timing --
Factor models --
Factors of equity returns in the United States --
Factor model (Barra) performance attribution --
Contributions to return. Performance attribution --
Linking attribution effects --
Benchmarks and knowledge --
Elements of a desirable benchmark --
Index weighting --
Practical issues with building indexes --
Styles, factors, and equity benchmarks --
Equity style indexes: tools for better performance evaluation and plan management --
Russell style index methodology --
U.S. equity benchmarks --
Global and international equity benchmarks --
Fixed-income benchmarks --
Real estate benchmarks --
Hedge fund universes --
Determining investment style --
GIPS: global investments performance standards.
Series Title: McGraw-Hill finance & investing.
Responsibility: Jon A. Christopherson, David R. Cariño, Wayne E. Ferson.
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