Performance measurement in finance : firms, funds and managers / edited by John Knight, Stephen Satchell.

Format:

Book

Contributor:

Satchell, Stephen, 1949-

Knight, John L.

Series:

Quantitative finance series.

Quantitative finance series

Language:

English

Subjects (All):

Investment analysis.

Investments--Evaluation.

Investments.

Performance--Measurement.

Performance.

Physical Description:

1 online resource (397 p.)

Edition:

1st edition

Place of Publication:

Oxford : Butterworth-Heinemann, 2002.

Language Note:

English

System Details:

text file

Summary:

The distinction between out-performance of an Investment fund or plan manager vs rewards for taking risks is at the heart of all discussions on Investment fund performance measurement of fund managers. This issue is not always well-understood and the notion of risk adjusting performance is not universally accepted. Performance Measurement in Finance addresses this central issue.The topics covered include evaluation of investment fund management, evaluation of the investment fund itself, and stock selection performance. The book also surveys and critiques existing methodologies of perfo

Contents:

Front Cover; Performance Measurement in Finance; Copyright Page; Contents; Preface; List of contributors; Chapter 1. The financial economics of performance measurement; 1.1 Introduction; 1.2 The Sharpe ratio; 1.3 The Treynor measure; 1.4 The Jensen measure; 1.5 The Treynor-Mazuy measure; 1.6 Parametric and non-parametric tests of market timing abilities; 1.7 The positive period weighting measure; 1.8 Conditional performance evaluation; 1.9 The 4-index model of performance evaluation; 1.10 Carhart's 4-factor model; 1.11 Risk-adjusted performance; 1.12 Style/risk-adjusted performance

1.13 The Sharpe style analysis1.14 Three innovative measures that capture the different faces of a manager's superior abilities; 1.15 Dynamics of portfolio weights: passive and active management; 1.16 The portfolio change measure; 1.17 The momentum measures; 1.18 The herding measures; 1.19 Stockholdings and trades measure; 1.20 Conclusion; References; Chapter 2. Performance evaluation: an econometric survey; 2.1 Introduction; 2.2 Statistical properties of performance measures; 2.3 Mutual funds style; 2.4 International empirical results of performance; 2.5 Conclusion and future research

ReferencesChapter 3. Distribution of returns generated by stochastic exposure: an application to VaR calculation in the futures markets; 3.1 Introduction; 3.2 Distribution of performance returns; 3.3 Implications for VaR calculations; 3.4 Actively trading the futures markets; 3.5 Conclusion; Acknowledgements; References; Chapter 4. A dynamic trading approach to performance evaluation; 4.1 Introduction; 4.2 Traditional performance measures; 4.3 A new performance measure; 4.4 Sampling error; 4.5 Hedge funds and hedge fund returns; 4.6 Evaluation of hedge fund index performance; 4.7 Conclusion

ReferencesChapter 5. Performance benchmarks for institutional investors: measuring, monitoring and modifying investment behaviour; 5.1 Introduction; 5.2 What benchmarks are currently used by institutional investors?; 5.3 What are the alternatives?; 5.4 Benchmarks based on liabilities; 5.5 What happens in other countries?; 5.6 Conclusion; 5.7 Appendix: Deriving the power function; References; Chapter 6. Simulation as a means of portfolio performance evaluation; 6.1 Introduction; 6.2 Objectives of simulations; 6.3 Methodology; 6.4 Advantages of simulation; 6.5 Examples of portfolio simulation

6.6 Applications6.7 Summary and conclusions; Chapter 7. An analysis of performance measures using copulae; 7.1 Introduction; 7.2 Performance measures; 7.3 Empirical results; 7.4 Copulae; 7.5 An aggregate performance measure; 7.6 Conclusions; References; Chapter 8. A clinical analysis of a professionally managed portfolio; 8.1 Introduction; 8.2 The portfolio; 8.3 The data; 8.4 The analyses; 8.5 Conclusions; Acknowledgement; References; Chapter 9. The intertemporal performance of investment opportunity sets; 9.1 Introduction; 9.2 Investment opportunity sets with continuous risk structures

9.3 Measuring the performance of investment opportunity sets

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

ISBN:

9786611013486

9781281013484

128101348X

9780080497631

0080497632

OCLC:

171114465