Practical Portfolio Performance Measurement and Attribution
2nd Edition
Published on 15. September 2008
402 pages
978-0-470-77805-0 (ISBN)
Description
Performance measurement and attribution are key tools in informinginvestment decisions and strategies. Performance measurement is thequality control of the investment decision process, enabling moneymanagers to calculate return, understand the behaviour of aportfolio of assets, communicate with clients and determine howperformance can be improved.
Focusing on the practical use and calculation of performancereturns rather than the academic background, Practical PortfolioPerformance Measurement and Attribution provides a clear guide tothe role and implications of these methods in today's financialenvironment, enabling readers to apply their knowledge withimmediate effect.
Fully updated from the first edition, this book covers key newdevelopments such as fixed income attribution, attribution ofderivative instruments and alternative investment strategies,leverage and short positions, risk-adjusted performance measuresfor hedge funds plus updates on presentation standards. Completewith a CD containing worked examples for the majority of exhibits,the book covers the mathematical aspects of the topic in anaccessible and practical way, making this book an essentialreference for anyone involved in asset management.
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Person
CARL BACON CIPM, is Chairman of StatPro, a data and softwaredevelopment specialist providing services for the asset managementindustry. He also runs his own consultancy business providingadvice to asset managers on various risk and performancemeasurement issues.
Prior to joining StatPro, Carl was Director of Risk Control andPerformance at Foreign & Colonial Management Ltd., VicePresident Head of Performance (Europe) for J P Morgan InvestmentManagement Inc., and Head of Performance for Royal Insurance AssetManagement.
Carl holds a B.Sc. Hons. in Mathematics from ManchesterUniversity, is an executive committee member ofInvestment-Performance.com and also an associate tutor for 7cityLearning. A founder member of both the Investment PerformanceCouncil and GIPS¯®, Carl is ex-chair of the IPCInterpretations & IPC Verification Sub-Committees, and is amember of the Advisory Board of the Journal of PerformanceMeasurement.
Author of the first edition of Practical PortfolioPerformance Measurement & Attribution published in 2004 aspart of the Wiley Finance Series, Carl is also Editor ofAdvanced Portfolio Attribution Analysis.
Content
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 - Guidanceon Performance Attribution Presentation.
Appendix E. The Global Investment Performance Standards.
Appendix F. Guidance Statement on Composite Definition.
Appendix G. Sample Global Investment Performance StandardsPresentation.
Appendix H. Calculation Methodology Guidance Statement.
Appendix I. Definition of Firm Guidance Statement.
Appendix J. Treatment of Carve-outs Guidance Statement.
Appendix K. Significant Cash Flow Guidance Statement.
Appendix L. Guidance Statement on Performance RecordPortability.
Appendix M. Guidance Statement on the Use of SupplementalInformation.
Appendix N. Guidance Statement on Recordkeeping Requirements ofthe GIPS Standards.
Appendix O. Useful Websites.
Bibliography.
Index.
