Practical Portfolio Performance Measurement and Attribution
1st Edition
Published on 3. September 2008
Book
Mixed media product
352 pages
978-0-470-74093-4 (ISBN)
Description
Performance-Messung und Performance-Attribution als Instrumente der Leistungsmessung und Renditeermittlung von Anlagestrategien werden aus Anwendersicht dargestellt. Tipps zur Auswahl der richtigen Anlagekomponenten und eine Präsentation der neuesten Methoden und Standards runden diese praktische Einführung ab.
More details
Content
Acknowledgements xv
1 Introduction 1
Why measure portfolio performance? 1
The performance measurement process 2
The purpose of this book 2
Role of performance measurers 2
Book structure 3
2 The Mathematics of Portfolio Return 5
Simple return 5
Money-weighted returns 7
Internal rate of return (IRR) 7
Simple internal rate of return 7
Modified internal rate of return 8
Simple Dietz 10
ICAA method 11
Modified Dietz 12
Time-weighted returns 13
True time-weighted 13
Unit price method 14
Time-weighted versus money-weighted rates of return 16
Approximations to the time-weighted return 18
Index substitution 18
Regression method (or ß method) 19
Analyst's test 19
Hybrid methodologies 20
Linked modified Dietz 21
BAI method (or linked IRR) 21
Which method to use? 21
Self-selection 22
Annualised returns 27
Return hiatus 28
Continuously compounded returns 28
Gross- and net-of-fee calculations 29
Estimating gross- and net-of-fee returns 30
Initial fees 32
Portfolio component returns 32
Component weight 32
Short positions 34
Overlay strategies 34
Carve-outs 34
Multi-period component returns 35
Base currency and local returns 35
3 Benchmarks 39
Benchmarks 39
Benchmark attributes 39
Commercial indexes 39
Calculation methodologies 40
Aggregate price index (price-weighted index) 40
Geometric (or Jevons-type) index 41
Market capitalisation index 41
Laspeyres index 41
Paasche index 42
Marshall-edgeworth index 42
Fisher index 42
Equal-weighted indexes 42
Fundamental indexes 43
Currency effects in benchmark 43
Hedged indexes 43
Customised (or composite) indexes 44
Fixed weight and dynamised benchmarks 45</p
1 Introduction 1
Why measure portfolio performance? 1
The performance measurement process 2
The purpose of this book 2
Role of performance measurers 2
Book structure 3
2 The Mathematics of Portfolio Return 5
Simple return 5
Money-weighted returns 7
Internal rate of return (IRR) 7
Simple internal rate of return 7
Modified internal rate of return 8
Simple Dietz 10
ICAA method 11
Modified Dietz 12
Time-weighted returns 13
True time-weighted 13
Unit price method 14
Time-weighted versus money-weighted rates of return 16
Approximations to the time-weighted return 18
Index substitution 18
Regression method (or ß method) 19
Analyst's test 19
Hybrid methodologies 20
Linked modified Dietz 21
BAI method (or linked IRR) 21
Which method to use? 21
Self-selection 22
Annualised returns 27
Return hiatus 28
Continuously compounded returns 28
Gross- and net-of-fee calculations 29
Estimating gross- and net-of-fee returns 30
Initial fees 32
Portfolio component returns 32
Component weight 32
Short positions 34
Overlay strategies 34
Carve-outs 34
Multi-period component returns 35
Base currency and local returns 35
3 Benchmarks 39
Benchmarks 39
Benchmark attributes 39
Commercial indexes 39
Calculation methodologies 40
Aggregate price index (price-weighted index) 40
Geometric (or Jevons-type) index 41
Market capitalisation index 41
Laspeyres index 41
Paasche index 42
Marshall-edgeworth index 42
Fisher index 42
Equal-weighted indexes 42
Fundamental indexes 43
Currency effects in benchmark 43
Hedged indexes 43
Customised (or composite) indexes 44
Fixed weight and dynamised benchmarks 45</p