Performance Evaluation And Attribution Of Security Portfolios
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Author | : Bernd R. Fischer |
Publisher | : Academic Press |
Total Pages | : 725 |
Release | : 2012-12-31 |
Genre | : Business & Economics |
ISBN | : 0080926525 |
Download Performance Evaluation and Attribution of Security Portfolios Book in PDF, Epub and Kindle
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.
Author | : Carl R. Bacon |
Publisher | : John Wiley & Sons |
Total Pages | : 569 |
Release | : 2023-02-28 |
Genre | : Business & Economics |
ISBN | : 1119831946 |
Download Practical Portfolio Performance Measurement and Attribution Book in PDF, Epub and Kindle
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.
Author | : Bernd R. Fischer |
Publisher | : Academic Press |
Total Pages | : 500 |
Release | : 2020-09-01 |
Genre | : Business & Economics |
ISBN | : 0128182989 |
Download Performance Evaluation Book in PDF, Epub and Kindle
Performance Evaluation, Second Edition, presents an updated, comprehensive exploration of portfolio evaluation. Based on the authors’ Performance Evaluation and Attribution of Security Portfolios (2012) this Second Edition adds four new chapters and updated content throughout in its practical approach to measuring manager skills and using recent statistical techniques to solve investment problems. Added are new factor models, including the newly developed q-factor model and the new models of Fama and French; new examples; and new work on qualitative considerations used in performance evaluation. Highly detailed, Performance Evaluation, Second Edition, combines academic rigor with practical applications and guidance for applications of diverse approaches. Adds four new chapters; every other chapter has been expanded and updated Presents new material for special types of funds (target-date funds, ETFs), addressing the needs of fund managers Examines advanced topics on financial evaluation such as derivatives and benchmarking
Author | : George O. Aragon |
Publisher | : Now Publishers Inc |
Total Pages | : 123 |
Release | : 2008 |
Genre | : Financial risk management |
ISBN | : 1601980825 |
Download Portfolio Performance Evaluation Book in PDF, Epub and Kindle
This paper provides a review of the methods for measuring portfolio performance and the evidence on the performance of professionally managed investment portfolios. Traditional performance measures, strongly influenced by the Capital Asset Pricing Model of Sharpe (1964), were developed prior to 1990. We discuss some of the properties and important problems associated with these measures. We then review the more recent Conditional Performance Evaluation techniques, designed to allow for expected returns and risks that may vary over time, and thus addressing one major shortcoming of the traditional measures. We also discuss weight-based performance measures and the stochastic discount factor approach. We review the evidence that these newer measures have produced on selectivity and market timing ability for professional managed investment funds. The evidence includes equity style mutual funds, pension funds, asset allocation style funds, fixed income funds and hedge funds.
Author | : David Spaulding |
Publisher | : McGraw Hill Professional |
Total Pages | : 280 |
Release | : 2003 |
Genre | : Business & Economics |
ISBN | : 9780071408851 |
Download Investment Performance Attribution Book in PDF, Epub and Kindle
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.
Author | : Jon A. Christopherson |
Publisher | : McGraw Hill Professional |
Total Pages | : 14 |
Release | : 2009-05-15 |
Genre | : Business & Economics |
ISBN | : 0071733183 |
Download Portfolio Performance Measurement and Benchmarking, Chapter 12 - Conditional Performance Evaluation Book in PDF, Epub and Kindle
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.
Author | : Jon A. Christopherson |
Publisher | : McGraw Hill Professional |
Total Pages | : 17 |
Release | : 2009-05-15 |
Genre | : Business & Economics |
ISBN | : 0071733248 |
Download Portfolio Performance Measurement and Benchmarking, Chapter 18 - Performance Attribution Book in PDF, Epub and Kindle
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.
Author | : Jon A. Christopherson |
Publisher | : McGraw Hill Professional |
Total Pages | : 18 |
Release | : 2009-05-15 |
Genre | : Business & Economics |
ISBN | : 0071733221 |
Download Portfolio Performance Measurement and Benchmarking, Chapter 16 - Factor Model (Barra) Performance Attribution Book in PDF, Epub and Kindle
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.
Author | : Bernd R. Fischer |
Publisher | : Academic Press |
Total Pages | : 400 |
Release | : 2022-03-15 |
Genre | : Business & Economics |
ISBN | : 9780128183014 |
Download Performance Evaluation and Attribution of Security Portfolios Book in PDF, Epub and Kindle
Performance Analysis and Reporting, Second Edition explains the practical aspects of building or interpreting a top-to-bottom performance attribution system applicable to many asset classes. Requiring a familiarity with the principal concepts of portfolio analysis, it features standard methodologies and alternative approaches to the attribution of diverse assets, including derivatives, fixed income, and hedge funds. Based on the authors' Performance Evaluation and Attribution of Security Portfolios (2012), its concentration on the ethical standards embodied by GIPS includes a summary of provisions for the presentation of risk in a firm's investments. Features new changes to Global Investment Performance Standards (GIPS) Expands and updates all chapters, including new sections on the return calculation of derivatives Embodies a practical point of view and clear division of chapters
Author | : Timothy P. Ryan |
Publisher | : |
Total Pages | : 378 |
Release | : 2006-01 |
Genre | : Investment analysis |
ISBN | : 9781904339823 |
Download Portfolio Analysis Book in PDF, Epub and Kindle
Drawing upon the experience of key global practitioners and leading industry authors, Portfolio Analysis quickly updates your knowledge and skills on advanced topics within performance measurement, risk, attribution and evaluation.