Practical Portfolio Performance Measurement and Attribution
1st Edition
Published on 10. September 2004
Book
Hardback
240 pages
978-0-470-85679-6 (ISBN)
Description
This book provides a clear introduction to the subject of portfolio performance measurement. Focusing more on the practical use and calculation of performance returns rather than the academic background, it will help readers gain a clear understanding of the role and implications of performance measurement in today's financial environment.
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Other editions
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Book
05/2008
2nd Edition
Wiley
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Person
CARL BACON joined StatPro Group plc as Chairman in April 2000. StatPro develops and markets specialist middle-office reporting software to the asset management industry. Carl also runs his own consultancy business providing advice to asset managers on various risk and performance measurement issues.
Prior to joining StatPro Carl was Director of Risk Control and Performance at Foreign & Colonial Management Ltd, Vice President Head of Performance (Europe) for J P Morgan Investment Management Inc., and Head of Performance for Royal Insurance Asset Management.
Carl holds a BSc Hons in Mathematics from Manchester University and is a member of the UK Investment Performance Committee (UKIPC), the European Investment Performance Committee (EIPC) and the Investment Performance Council (IPC). An original GIPS committee member, Carl also chairs the IPC Interpretations Sub-Committee, is ex-chair of the IPC Verification Sub-Committee and is a member of the Advisory Board of the Journal of Performance Measurement.
Prior to joining StatPro Carl was Director of Risk Control and Performance at Foreign & Colonial Management Ltd, Vice President Head of Performance (Europe) for J P Morgan Investment Management Inc., and Head of Performance for Royal Insurance Asset Management.
Carl holds a BSc Hons in Mathematics from Manchester University and is a member of the UK Investment Performance Committee (UKIPC), the European Investment Performance Committee (EIPC) and the Investment Performance Council (IPC). An original GIPS committee member, Carl also chairs the IPC Interpretations Sub-Committee, is ex-chair of the IPC Verification Sub-Committee and is a member of the Advisory Board of the Journal of Performance Measurement.
Content
About the Author.Acknowledgements.1 Introduction.Why measure portfolio performance?The purpose of this book.Reference.2 The Mathematics of Portfolio Return.Simple return.Money-weighted returns.Time-weighted returns.Time-weighted versus money-weighted rates of return.Approximations to the time-weighted return.Hybrid methodologies.Which method to use?Self-selection.Annualized returns.Continuously compounded returns.Gross- and net-of-fee calculations.Portfolio component returns.Base currency and local returns.References.3 Benchmarks.Benchmarks.Peer groups and universes.Notional funds.Excess return.4 Risk.Definition of risk.Risk measures.Regression analysis.Relative risk.Return distributions.Downside risk.Fixed income risk.Which risk measures to use?Risk control structure.References.5 Performance Attribution.Arithmetic attribution.Brinson and Fachler.Interaction.Geometric excess return attribution.Sector weights.Multi-period attribution.Smoothing algorithms.Risk-adjusted attribution.Multi-currency attribution.Geometric multi-currency attribution.Fixed income attribution.Attribution standards.References.6 Performance Presentation Standards.Why do we need performance presentation standards?Advantages for asset managers.The standards.Verification.Investment Performance Council.Achieving compliance.Maintaining compliance.Reference.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 Global Investment Performance Standards.Bibliography.Index.