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ePub Practical Portfolio Performance Measurement and Attribution (The Wiley Finance Series) download

by Carl R. Bacon

ePub Practical Portfolio Performance Measurement and Attribution (The Wiley Finance Series) download
Author:
Carl R. Bacon
ISBN13:
978-0470856796
ISBN:
0470856793
Language:
Publisher:
Wiley; 1 edition (November 5, 2004)
Category:
Subcategory:
Business & Finance
ePub file:
1197 kb
Fb2 file:
1160 kb
Other formats:
mobi txt lrf mbr
Rating:
4.3
Votes:
714

Carl Bacon is one of the most knowledgeable professionals I know on the subject of performance .

Carl Bacon is one of the most knowledgeable professionals I know on the subject of performance measurement. He has been a pioneer, leader, and teacher at the forefront of developments in global investment performance measurement and attribution, risk measurement, and industry standards.

This book provides you with everything you need to understand performance analytics. It's well written and very comprehensive. Some parts of this book might bore you this death, but performance analytics is boring to begin with (at least for me). There's so much to learn and little to apply especially if you use powerful and dynamic investemnt tools like bloomberg and factset which already have the capabilities to do attribution, contribution, return calculations, and tons of other functions without any need to see the underlying calculation methodology.

CARL BACON CIPM, is Chairman of StatPro, a data and software development .

CARL BACON CIPM, is Chairman of StatPro, a data and software development specialist providing services for the asset management industry. He also runs his own consultancy business providing advice to asset managers on various risk and performance measurement issues.

Start by marking Practical Portfolio Performance Measurement and Attribution (The Wiley Finance Series) as. .Performance measurement and attribution are key tools in informing investment decisions and strategies

Start by marking Practical Portfolio Performance Measurement and Attribution (The Wiley Finance Series) as Want to Read: Want to Read savin. ant to Read. Performance measurement and attribution are key tools in informing investment decisions and strategies. Performance measurement is the quality control of the investment decision process, enabling money managers to calculate return, understand the behaviour of a portfolio of assets, communicate with clients and determine how performance can be improved. Focusing on the pract Performance measurement and attribution are key tools in informing investment decisions and strategies.

Performance measurement is a key function in an asset management firm and deserves better than to be grouped with the . Practical Risk-Adjusted Performance Measurement (The Wiley Finance Series).

Performance measurement is a key function in an asset management firm and deserves better than to be grouped with the back office. Performance measurers provide real added value, with feedback into the investment decision process and analysis of structur. A practitioner's guide to ex-post performance measurem. т 7953. Studyguide for Practical Portfolio Performance Measurement and Attribution by Bacon, Carl . ISBN 9780470059289.

Measurement and Attribution The Wiley Finance Series Description: Fixed income attribution is by it.

Measurement and Attribution. The Wiley Finance Series Description: Fixed income attribution is by its very nature a complex.

series The Wiley Finance Series . Books related to Practical Portfolio Performance Measurement and Attribution.

series The Wiley Finance Series Focusing on the practical use and calculation of performance returns rather than the academic background, Practical Portfolio Performance Measurement and Attribution provides a clear guide to the role and implications of these methods in today's financial environment, enabling readers to apply their knowledge with immediate effect.

6. Performance Presentation Standards. Appendix A: Simple Attribution.

All of our paper waste is recycled within the UK and turned into corrugated cardboard. We all like the idea of saving a bit of cash, so when we found out how many good quality used products are out there - we just had to let you know! См. подробнee. 6. Appendix B: Multi-currency Attribution Methodology. Appendix C: EIPC Guidance for Users of Attribution Analysis.

Performance measurement and attribution are key tools in informing investment decisions and strategies

Performance measurement and attribution are key tools in informing investment decisions and strategies. Performance measurement is the quality control of the investment decision process, enabling money managers to calculate return, understand the behaviour of a portfolio of assets, communicate with clients and determine how performance can be improved

Practical Performance Measurement and Attribution provides a clear introduction to the subject of 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.  

"Carl’s book is a ‘must have’ resource - the complete A to Z of the increasingly complex field of performance measurement." Glenn Solomon, Global Head of Institutional Clients, Investment Reporting & Performance, BNP Paribas Securities Services

"Internationally renowned authority Carl Bacon has provided what one would expect – an exceptionally well written and practical resource that every investment performance measurement professional should own." David Spaulding, President, The Spaulding Group

"Carl Bacon is one of the most knowledgeable professionals I know on the subject of Performance Measurement. He has been a pioneer, leader, and teacher at the forefront of developments in global investment performance standards, performance attribution technique, and risk measurement. I am very pleased he has written this timely and useful book as a complete reference and explanation update on these important subjects." James Hollis, Managing Director, Cutter Associates

"Though the subject matter is complex, Carl strikes the right balance between theory and reality. This book should have a permanent spot on the desk of every performance practitioner. I will refer to it often." Karyn Vincent, CFA, Vincent Performance Services LLC

"Whether you are a provider or a user of Performance Analysis, this book is well structured, informative and truly a practical guide in every sense." Gary Hilldrup, Global Head Performance, Risk & Client Reporting, Fortis Investments

  • This book starts out with a very complete overview of portfolio return calculation methodologies: simple return, money-weighted , time-weighted and hybrid methodologies. Where needed each formula is illustrated with a calculation example. A table with advantages and disavantages of each method represents an overview for easy reference. Of particular interest is the calculation of components returns using the simple and/or modified Dietz which can be disaggregated into component returns.

    The following chapter is about benchmarking: compare portfolio return and risk against an appropriate benchmark. Both arithmetic and geometric excess return are explained. The author clearly explains why the latter is preferred i.e.: proportionality, convertibility, compoundability. In a next chapter the various types of risks are defined i.e. compliance, operational risk, counterpart or credit risk and portfolio risk . Both the Sharpe ratio and the so-called risk-adjusted return M-square (for Leag Modigliani and her grandfather Professor Franco Modigliani) are beautifully explained by means of a risk-return graphs. Regression analysis is described in full details of progressive complexity : alpha, beta (systematic risk or volatility), CAPM, Jensen's alpha, Bull/bear beta and beta timing ratio, Treynor ratio (reward to volatility), M-square for beta, appraisal ratio (systematic risk adjusted Sharpe). The Fama decomposition of excess return in selectivity and systematic risk is again nicely illustrated using a risk -return graph. Relative risk measures described are tracking error and information ratio. The section on return distributions is also very complete: normal distribution, Sortino, upside potential ratioValue at Risk (Var), etc. The chapter on risk contains a seperate section on fixed income risk (i.e. duration, convexity, duration beta).

    Performance attribution is likely the most interesting chapther: explore how good asset manager add value through asset allocation, security selection and interaction. The Brinson, Hood and Beebower attribution model and the more advanced Brinson and Fachler attribution models are explained in detail using calculation examples and graphs. Other topics covered are sector weights, multi-period attribution and smoothing alogrithms for adding up in case of multiple period arithmetic attribution factors, risk-adjusted attribution, multi-currencty attribution and fixed income attribution (e.g. weighted duration attribution). The chapter concludes with an overview of all attribution standards thereby providing an easy reference overview.

    The books finishes with a chapter on performance presentation standards. Overall this books is a very complete overview of portfolio performance measures and attributions. The author manages to explain complex issues in an enjoyable and comprehensable manner via a progressive buildup of complexity. I highly recommend this book to everyone interest in portfolio performance measurement and attribution.

  • DO NOT BUY THE DIGITAL VERSION OF THIS BOOK. IT IS OUTDATED AND INCOMPLETE AND AMAZON WON'T LET YOU RETURN IT ONCE YOU HAVE BOUGHT IT. MUCH BETTER TO ORDER THE NEWER EDITION IN PRINT. IT IS UNFORTUNATE THAT AMAZON LISTS THIS DATED AND INCOMPLETE VERSION.

  • This is a good place to start. Complex concepts explained in a comprehensible manner. For people already familiar with the basics will be looking for more, expecially on topics such as fixed income and multi-current portfolios.

  • This book is absolutely amazing for Performance Measurement interviews, honestly! It covers every aspect of fund returns, index returns and atributions in a clear concise way with examples. It is extremely easy to follow and understand. Also, it covers every possible technical Performance interview question that you could every be asked, all in the right detail, which is key.

    I have read about four or five other Performance Measurement books, which had long-winded chapters with highly-technical drawn-out examples. This book manages to sum up everything you need to know in a nutshell and is wery intelligently and concisely worded and taught. I am sure if you read and learnt the material in this book, you would excel both at any performance interview and/or job.

    Well done Carl!

  • Covers all the pertinent details concisely with clear mathematical explanation. Related concepts are grouped appropriately, and the text, for its relatively low page count, covers a lot of material. I bought this for pre-CIPM research and was not disappointed in the least.

  • Practical Portfolio Performance Measurement And Attribution is widely used as a basis for designing financial decision evaluation models, and rightfully so. The thoughtfulness it brings to the broad range of topics it addresses makes it a perfect starting point for anyone interested in the field.