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Practical portfolio performance measurement and attribution

Author: Carl R Bacon
Publisher: Chichester J. Wiley 2007
Series: Wiley finance series.
Edition/Format:   Print book : English : ReprintView all editions and formats
Summary:

Presents an introduction to the subject of performance measurement. This book focuses on the practical use and calculation of performance returns. It helps gain an understanding of the role and  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Carl R Bacon
ISBN: 9780470856796 0470856793
OCLC Number: 255924543
Description: XI, 225 Seiten Diagramme
Contents: About the Author.Acknowledgements.1 Introduction.Why measure portfolio performance?The purpose of this book.Reference.2 The Mathematics of Portfolio Return.Simple return.Money-weighted returns.Time-weighted returns.Time-weighted versus money-weighted rates of return.Approximations to the time-weighted return.Hybrid methodologies.Which method to use?Self-selection.Annualized returns.Continuously compounded returns.Gross- and net-of-fee calculations.Portfolio component returns.Base currency and local returns.References.3 Benchmarks.Benchmarks.Peer groups and universes.Notional funds.Excess return.4 Risk.Definition of risk.Risk measures.Regression analysis.Relative risk.Return distributions.Downside risk.Fixed income risk.Which risk measures to use?Risk control structure.References.5 Performance Attribution.Arithmetic attribution.Brinson and Fachler.Interaction.Geometric excess return attribution.Sector weights.Multi-period attribution.Smoothing algorithms.Risk-adjusted attribution.Multi-currency attribution.Geometric multi-currency attribution.Fixed income attribution.Attribution standards.References.6 Performance Presentation Standards.Why do we need performance presentation standards?Advantages for asset managers.The standards.Verification.Investment Performance Council.Achieving compliance.Maintaining compliance.Reference.Appendix A Simple Attribution.Appendix B Multi-currency Attribution Methodology.Appendix C EIPC Guidance for Users of Attribution Analysis.Appendix D European Investment Performance Committee - Guidance on Performance Attribution Presentation.Appendix E The Global Investment Performance Standards.Bibliography.Index.
Series Title: Wiley finance series.
Responsibility: Carl R. Bacon

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