Practical portfolio performance : measurement and attribution / Carl R Bacon.

Format:

Book

Author/Creator:

Bacon, Carl R.

Series:

Wiley finance series.

Wiley finance

Language:

English

Subjects (All):

Investment analysis.

Portfolio management.

Physical Description:

1 online resource (402 p.)

Edition:

2nd ed.

Place of Publication:

Chichester, England ; Hoboken, NJ : Wiley, c2008.

Language Note:

English

System Details:

text file

Summary:

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

Contents:

Practical Portfolio Performance Measurement and Attribution; Contents; Acknowledgements; 1 Introduction; 2 The Mathematics of Portfolio Return; 3 Benchmarks; 4 Risk; 5 Performance Attribution; 6 Multi-currency Attribution; 7 Fixed Income Attribution; 8 Multi-period Attribution; 9 Further Attribution Issues; 10 Performance Measurement for Derivatives; 11 Performance Presentation Standards; 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 PresentationAppendix E The Global Investment Performance Standards; Appendix F Guidance Statement on Composite Definition; Appendix G Sample Global Investment Performance Standards Presentation; Appendix H Calculation Methodology Guidance Statement; Appendix I Definition of Firm Guidance Statements; Appendix J Treatment of Carve-outs Guidance Statement; Appendix K Significant Cash Flow Guidance Statement; Appendix L Guidance Statement on Performance Record Portability

Appendix M Guidance Statement on the Use of Supplemental InformationAppendix N Guidance Statement on Recordkeeping Requirements of the GIPS Standards; Appendix O Useful Websites; Bibliography; Index

Notes:

Description based upon print version of record.

Includes bibliographical references (p. [377]-380) and index.

ISBN:

1-119-20630-8

1-281-84114-5

9786611841140

0-470-77805-9

OCLC:

437234406