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. This book should have a permanent spot on the desk of every performance practitioner. I will refer to it often. Practical Portfolio Performance Measurement and Attribution.
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Tobias E. Wesley R. Mahendra Ramsinghani. Paul Pignataro. Philip Marcovici. Rishi K. Home Contact us Help Free delivery worldwide. Free delivery worldwide. Bestselling Series. Harry Potter. Popular Features. Home Learning. Practical Portfolio Performance Measurement and Attribution. Description "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.
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. This book should have a permanent spot on the desk of every performance practitioner. Product details Format Hardback pages Dimensions Other books in this series. Value Investing Bruce C. Add to basket. Investment Valuation Aswath Damodaran. Investment Banking Joshua Rosenbaum. Trading for a Living Alexander Elder.
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Financial Modeling and Valuation Paul Pignataro. Inside the Black Box Rishi K. Table of contents About the Author. Why measure portfolio performance? The purpose of this book. 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? Annualized returns.
Continuously compounded returns. Gross- and net-of-fee calculations. Portfolio component returns. Base currency and local returns. Peer groups and universes. Notional funds. Excess return. Definition of risk. Risk measures. Regression analysis. Relative risk. Return distributions. Downside risk. Fixed income risk. Which risk measures to use? Risk control structure. Arithmetic attribution. Brinson and Fachler.
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. Why do we need performance presentation standards? Advantages for asset managers.
The standards. Investment Performance Council. Achieving compliance. Maintaining compliance. Appendix A Simple Attribution. Appendix B Multi-currency Attribution Methodology.
About C. 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. Rating details. Book ratings by Goodreads. Goodreads is the world's largest site for readers with over 50 million reviews. We're featuring millions of their reader ratings on our book pages to help you find your new favourite book.
Practical Portfolio Performance Measurement and Attribution, 2nd Edition
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Practical Portfolio Performance Measurement and Attribution, Second Edition
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Practical Portfolio Performance Measurement and Attribution
Practical Portfolio Performance Measurement and Attribution (a review)
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 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. Fully updated from the first edition, this book covers key new developments such as fixed income attribution, attribution of derivative instruments and alternative investment strategies, leverage and short positions, risk-adjusted performance measures for hedge funds plus updates on presentation standards.