Practical Portfolio Performance Measurement And Attribution

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Bacon, Carl

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ISBN:9780470059289
Editorial: Wiley & Sons Ltd.
Fecha de la edición:2008
Número de la edición: 2
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Nº Pág.:288
Idiomas:Ingles

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This title provides an introduction to the subject of performance measurement aimed at performance analysts, portfolio managers and senior management within asset management firms and pension fund trustees. Focusing more on the practical use and calculation of performance returns rather than the academic background, it is suitable for both practitioners and users of performance measurement information.

Acknowledgements.Chapter 1: Introduction.Chapter 2: The Mathematics of Portfolio Return.Chapter 3: Benchmarks.Chapter 4: Risk.Chapter 5: Performance Attribution.Chapter 6: Multi-Currency Attribution.Chapter 7: Fixed Income Attribution.Chapter 8: Multi- period Attribution.Chapter 9: Further Attribution Issues.Chapter 10: Performance Measurement for Derivatives.Chapter 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 Presentation.Appendix E - The GIPS Standards.Appendix F - Guidance Statement on Composite Definition.Appendix G - Sample GIPS Presentation.Appendix H - Calculation Methodology Guidance Statement.Appendix I - Definition of Firm Guidance Statement.Appendix J - Treatment of Carve-outs Guidance Statement.Appendix K - Significant Cashflow Guidance Statement.Appendix L - Guidance Statement on Performance Record Portability.Appendix M - Guidance Statement on the Use of Supplemental Information.Appendix N - Guidance Statement on Recordkeeping Requirements of the GIPS Standards.Appendix O - Useful Websites.Bibliography.Index.