{"product_id":"practical-portfolio-performance-measurement-and-attribution-isbn-9781119831945","title":"Practical Portfolio Performance Measurement and Attribution","description":"\u003cp\u003e\u003cb\u003eA practitioner's guide to the role and implications of performance measurement and attribution analysis in asset management firms\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003ci\u003ePractical Portfolio Performance Measurement and Attribution\u003c\/i\u003e is a comprehensive reference and guide to the use and calculation of performance returns in the investment decision process. Focusing on real-world application rather than academic theory, this highly practical book helps asset managers and investors determine return on assets, analyse portfolio behaviour and improve performance. Author Carl R. Bacon clearly describes each of the methodologies used by performance analysts in today's financial environment whilst sharing valuable insights drawn from his experience as a Director of Performance Measurement \u0026amp; Risk Control.\u003c\/p\u003e \u003cp\u003eThe third edition is revised to reflect recent developments in performance attribution and presentation standards. Fully up-to-date chapters cover the entire performance measurement process, including return calculations, attribution methodologies, risk measures, manager selection and presentation of performance information.\u003c\/p\u003e \u003cul\u003e \u003cli\u003eWritten by an acknowledged leader in global investment performance standards, performance attribution technique and risk measurement\u003c\/li\u003e \u003cli\u003eAligns with the publication of the 2020 \u003ci\u003eGlobal Investment Performance Standards\u003c\/i\u003e (GIPS®)\u003c\/li\u003e \u003cli\u003eExplains the mathematical aspects of performance measurement and attribution in a clear, easy-to-understand manner\u003c\/li\u003e \u003cli\u003eProvides numerous practical and worked examples of attribution analysis and risk calculations supported by Excel spreadsheets\u003c\/li\u003e \u003cli\u003eIncludes signposts for the future development of performance measurement\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003e\u003ci\u003ePractical Portfolio Performance Measurement and Attribution, Third Edition, \u003c\/i\u003eremains a must-have for performance analysts and risk controllers, portfolio managers, compliance professionals and all asset managers, owners, consultants and servicing firms.\u003c\/p\u003e \u003cp\u003eContents\u003c\/p\u003e \u003cp\u003eAcknowledgements\u003c\/p\u003e \u003cp\u003eContents\u003c\/p\u003e \u003cp\u003eChapter 1 Introduction\u003c\/p\u003e \u003cp\u003eThe Performance Measurement Process\u003c\/p\u003e \u003cp\u003eRole of performance analysts\u003c\/p\u003e \u003cp\u003eBook Structure\u003c\/p\u003e \u003cp\u003eChapter 2 The Asset Management Industry\u003c\/p\u003e \u003cp\u003eAsset Classes\u003c\/p\u003e \u003cp\u003ePublic Equities\u003c\/p\u003e \u003cp\u003eBonds (or \u003ci\u003eFixed Income\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eCash (and near cash)\u003c\/p\u003e \u003cp\u003ePrivate Assets\u003c\/p\u003e \u003cp\u003eReal Estate\u003c\/p\u003e \u003cp\u003ePrivate Equity\u003c\/p\u003e \u003cp\u003ePrivate Debt\u003c\/p\u003e \u003cp\u003eInfrastructure\u003c\/p\u003e \u003cp\u003eNatural Resources\u003c\/p\u003e \u003cp\u003eCommodities\u003c\/p\u003e \u003cp\u003eDerivatives\u003c\/p\u003e \u003cp\u003eFutures\u003c\/p\u003e \u003cp\u003eForwards\u003c\/p\u003e \u003cp\u003eSwaps\u003c\/p\u003e \u003cp\u003eContracts for Difference (CFD)\u003c\/p\u003e \u003cp\u003eOptions\u003c\/p\u003e \u003cp\u003eOverlay Strategies\u003c\/p\u003e \u003cp\u003eCurrency\u003c\/p\u003e \u003cp\u003eHedge Funds\u003c\/p\u003e \u003cp\u003eAsset Allocation\u003c\/p\u003e \u003cp\u003eStrategic asset allocation\u003c\/p\u003e \u003cp\u003eTactical asset allocation.\u003c\/p\u003e \u003cp\u003eChapter 3 The Mathematics of Portfolio Return\u003c\/p\u003e \u003cp\u003eSimple Return\u003c\/p\u003e \u003cp\u003eContinuously Compounded (\u003ci\u003eor logarithmic\u003c\/i\u003e) Returns\u003c\/p\u003e \u003cp\u003eMoney-weighted Returns (\u003ci\u003eMWR\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eInternal Rate of Return (\u003ci\u003eIRR\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eEx-ante Internal Rate of Return\u003c\/p\u003e \u003cp\u003eSimple Internal Rate of Return\u003c\/p\u003e \u003cp\u003eEx-post Internal Rate of Return\u003c\/p\u003e \u003cp\u003eSimple Dietz\u003c\/p\u003e \u003cp\u003eICAA Method\u003c\/p\u003e \u003cp\u003eModified Dietz\u003c\/p\u003e \u003cp\u003eTime-Weighted Returns (\u003ci\u003eTWR\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eTrue Time-Weighted\u003c\/p\u003e \u003cp\u003eUnit Price Method\u003c\/p\u003e \u003cp\u003eUnit Price Method with Distributions\u003c\/p\u003e \u003cp\u003eTime-weighted versus Money-weighted Rates of Return\u003c\/p\u003e \u003cp\u003eApproximations to the Time Weighted Return\u003c\/p\u003e \u003cp\u003eIndex Substitution\u003c\/p\u003e \u003cp\u003eRegression Method (\u003ci\u003eor \u003c\/i\u003e\u003ci\u003eb method\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eAnalyst’s Test\u003c\/p\u003e \u003cp\u003eHybrid Methodologies\u003c\/p\u003e \u003cp\u003eLinked Modified Dietz\u003c\/p\u003e \u003cp\u003eBAI Method (\u003ci\u003eor linked IRR\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eWhich method to use?\u003c\/p\u003e \u003cp\u003eLate Trading and Market Timing\u003c\/p\u003e \u003cp\u003eSelf-selection\u003c\/p\u003e \u003cp\u003eLarge Cash Flow\u003c\/p\u003e \u003cp\u003eSelf-selection of methodologies\u003c\/p\u003e \u003cp\u003eAnnualised Returns\u003c\/p\u003e \u003cp\u003eSince Inception Internal Rate of Return (\u003ci\u003eSI-IRR\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eModified IRR (\u003ci\u003eMIRR\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eReturn Hiatus\u003c\/p\u003e \u003cp\u003eGross and net of fee calculations\u003c\/p\u003e \u003cp\u003eEstimating gross and net of fee returns\u003c\/p\u003e \u003cp\u003eInitial Fees\u003c\/p\u003e \u003cp\u003ePerformance Fees\u003c\/p\u003e \u003cp\u003eAsymmetric or Symmetric\u003c\/p\u003e \u003cp\u003eCrystallisation\u003c\/p\u003e \u003cp\u003ePerformance Fees in Practice\u003c\/p\u003e \u003cp\u003eEqualization\u003c\/p\u003e \u003cp\u003eReporting Hierarchy\u003c\/p\u003e \u003cp\u003eOverlay Strategies\u003c\/p\u003e \u003cp\u003eOverlay performance return calculations:\u003c\/p\u003e \u003cp\u003eBase currency and local returns\u003c\/p\u003e \u003cp\u003eCurrency conversions\u003c\/p\u003e \u003cp\u003eHedged Returns\u003c\/p\u003e \u003cp\u003eCurrency Overlay Returns\u003c\/p\u003e \u003cp\u003ePerfectly Hedged Returns\u003c\/p\u003e \u003cp\u003ePortfolio Component Returns\u003c\/p\u003e \u003cp\u003eMoney-weighted Component Returns\u003c\/p\u003e \u003cp\u003eEnd of day\u003c\/p\u003e \u003cp\u003eBeginning of day\u003c\/p\u003e \u003cp\u003eIntra-day weighted\u003c\/p\u003e \u003cp\u003eDifferentiated\u003c\/p\u003e \u003cp\u003eActual Time\u003c\/p\u003e \u003cp\u003eRule-based\u003c\/p\u003e \u003cp\u003eExtremely large cash flows\u003c\/p\u003e \u003cp\u003eWhich timing assumption to use for time-weighted returns?\u003c\/p\u003e \u003cp\u003eCarve Outs\u003c\/p\u003e \u003cp\u003eSub-portfolios\u003c\/p\u003e \u003cp\u003eCash Sectors\u003c\/p\u003e \u003cp\u003eIndividual security returns\u003c\/p\u003e \u003cp\u003eMulti-period component returns\u003c\/p\u003e \u003cp\u003eAbnormal Returns\u003c\/p\u003e \u003cp\u003eShort Positions\u003c\/p\u003e \u003cp\u003eContribution to return\u003c\/p\u003e \u003cp\u003eComposite returns\u003c\/p\u003e \u003cp\u003eChapter 4 Benchmarks\u003c\/p\u003e \u003cp\u003eBenchmarks\u003c\/p\u003e \u003cp\u003eBenchmark attributes\u003c\/p\u003e \u003cp\u003eThe Role of Benchmarks\u003c\/p\u003e \u003cp\u003eTypes of Benchmarks\u003c\/p\u003e \u003cp\u003eCommercial Indexes\u003c\/p\u003e \u003cp\u003eCalculation methodologies\u003c\/p\u003e \u003cp\u003eAggregate Price Index (Price-weighted Index or Carli type)\u003c\/p\u003e \u003cp\u003eGeometric (or Jevons type) Index\u003c\/p\u003e \u003cp\u003eMarket Capitalisation Index\u003c\/p\u003e \u003cp\u003eLaspeyres Index\u003c\/p\u003e \u003cp\u003ePaasche Index\u003c\/p\u003e \u003cp\u003eMarshall – Edgeworth Index\u003c\/p\u003e \u003cp\u003eFisher Index\u003c\/p\u003e \u003cp\u003eEqual weighted Indexes\u003c\/p\u003e \u003cp\u003eFundamental Indexes\u003c\/p\u003e \u003cp\u003eOptimised Indexes (efficient or minimum variance indexes)\u003c\/p\u003e \u003cp\u003eFixed Income Indexes\u003c\/p\u003e \u003cp\u003eIndex Providers\u003c\/p\u003e \u003cp\u003eChoice of Index Provider\u003c\/p\u003e \u003cp\u003eBenchmark Regulation\u003c\/p\u003e \u003cp\u003eChoice of Index\u003c\/p\u003e \u003cp\u003eCurrency Effects in Benchmark\u003c\/p\u003e \u003cp\u003eHedged Indexes\u003c\/p\u003e \u003cp\u003eCustomised Indexes\u003c\/p\u003e \u003cp\u003eCapped Indexes\u003c\/p\u003e \u003cp\u003ePeer Groups and Universes\u003c\/p\u003e \u003cp\u003ePercentile Rank\u003c\/p\u003e \u003cp\u003eRandom Portfolios\u003c\/p\u003e \u003cp\u003eExchange Traded Funds (ETFs)\u003c\/p\u003e \u003cp\u003eTarget Returns\u003c\/p\u003e \u003cp\u003eBlended Benchmarks (\u003ci\u003eor balanced benchmarks\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eFixed Weight \u0026amp; Dynamised Benchmarks\u003c\/p\u003e \u003cp\u003eSpliced Indexes\u003c\/p\u003e \u003cp\u003eMoney-weighted Benchmarks (\u003ci\u003eor public market equivalents\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eNormal Portfolio\u003c\/p\u003e \u003cp\u003eBenchmark Statistics\u003c\/p\u003e \u003cp\u003eIndex Turnover\u003c\/p\u003e \u003cp\u003eUp-capture Indicator\u003c\/p\u003e \u003cp\u003eDown-capture Indicator\u003c\/p\u003e \u003cp\u003eUp-number Ratio\u003c\/p\u003e \u003cp\u003eDown-number Ratio\u003c\/p\u003e \u003cp\u003eUp-percentage Ratio\u003c\/p\u003e \u003cp\u003eDown-percentage Ratio\u003c\/p\u003e \u003cp\u003ePercentage Gain Ratio\u003c\/p\u003e \u003cp\u003eExcess return\u003c\/p\u003e \u003cp\u003eArithmetic Excess Return\u003c\/p\u003e \u003cp\u003eGeometric Excess Return\u003c\/p\u003e \u003cp\u003eChapter 5 Risk\u003c\/p\u003e \u003cp\u003eDefinition of Risk\u003c\/p\u003e \u003cp\u003eRisk types\u003c\/p\u003e \u003cp\u003eRisk management v Risk control\u003c\/p\u003e \u003cp\u003eRisk aversion\u003c\/p\u003e \u003cp\u003eEx-post and ex-ante\u003c\/p\u003e \u003cp\u003eDescriptive Statistics\u003c\/p\u003e \u003cp\u003eMean (\u003ci\u003eor arithmetic mean\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eMean absolute deviation (\u003ci\u003eor mean deviation\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eVariance\u003c\/p\u003e \u003cp\u003eBessel’s correction \u003ci\u003e(population or sample, n or n-1\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eSample variance\u003c\/p\u003e \u003cp\u003eStandard deviation (\u003ci\u003evariability or volatility\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eAnnualised risk (\u003ci\u003eor time aggregation\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eThe Central Limit Theorem\u003c\/p\u003e \u003cp\u003eFrequency and number of data points\u003c\/p\u003e \u003cp\u003eNormal (\u003ci\u003eor Gaussian\u003c\/i\u003e) distribution\u003c\/p\u003e \u003cp\u003eHistograms\u003c\/p\u003e \u003cp\u003eSkewness (\u003ci\u003eFisher’s or moment skewness\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eSample skewness\u003c\/p\u003e \u003cp\u003eKurtosis (\u003ci\u003ePearson’s kurtosis\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eExcess kurtosis (\u003ci\u003eor Fisher’s kurtosis\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eSample kurtosis\u003c\/p\u003e \u003cp\u003eBera-Jarque statistic (or Jarque-Bera)\u003c\/p\u003e \u003cp\u003eCovariance\u003c\/p\u003e \u003cp\u003eSample covariance\u003c\/p\u003e \u003cp\u003eCorrelation (\u003ci\u003er\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eSample correlation\u003c\/p\u003e \u003cp\u003ePerformance appraisal\u003c\/p\u003e \u003cp\u003eSharpe ratio (\u003ci\u003ereward to variability, Sharpe index\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eRoy ratio\u003c\/p\u003e \u003cp\u003eRisk-free rate\u003c\/p\u003e \u003cp\u003eAlternative Sharpe ratio\u003c\/p\u003e \u003cp\u003eRevised Sharpe ratio\u003c\/p\u003e \u003cp\u003eAdjusted Sharpe Ratio\u003c\/p\u003e \u003cp\u003eSkew-adjusted Sharpe Ratio\u003c\/p\u003e \u003cp\u003eRelative risk\u003c\/p\u003e \u003cp\u003eTracking error (or tracking risk, relative risk, active risk)\u003c\/p\u003e \u003cp\u003eInformation ratio\u003c\/p\u003e \u003cp\u003eGeometric information ratio\u003c\/p\u003e \u003cp\u003eModified information ratio\u003c\/p\u003e \u003cp\u003eRegression analysis\u003c\/p\u003e \u003cp\u003eRegression equation\u003c\/p\u003e \u003cp\u003eRegression \u003ci\u003ealpha\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eRegression \u003ci\u003ebeta\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eRegression \u003ci\u003eepsilon\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eCapital Asset Pricing Model (CAPM)\u003c\/p\u003e \u003cp\u003e\u003ci\u003eBeta\u003c\/i\u003e \u003ci\u003e(\u003c\/i\u003e\u003ci\u003eb)\u003c\/i\u003e (\u003ci\u003esystematic risk or volatility\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eJensen’s \u003ci\u003ealpha\u003c\/i\u003e (\u003ci\u003eJensen’s measure or Jensen’s differential return or ex-post\u003c\/i\u003e \u003ci\u003ealpha\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eAnnualised \u003ci\u003ealpha\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eBull \u003ci\u003ebeta\u003c\/i\u003e (b\u003csup\u003e+\u003c\/sup\u003e)\u003c\/p\u003e \u003cp\u003eBear \u003ci\u003ebeta\u003c\/i\u003e (b\u003csup\u003e-\u003c\/sup\u003e)\u003c\/p\u003e \u003cp\u003e\u003ci\u003eBeta\u003c\/i\u003e timing ratio\u003c\/p\u003e \u003cp\u003eMarket timing\u003c\/p\u003e \u003cp\u003eSystematic risk\u003c\/p\u003e \u003cp\u003eCorrelation\u003c\/p\u003e \u003cp\u003e\u003ci\u003eR\u003csup\u003e2\u003c\/sup\u003e\u003c\/i\u003e(\u003ci\u003eor coefficient of determination\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eSpecific (\u003ci\u003eor residual\u003c\/i\u003e) risk\u003c\/p\u003e \u003cp\u003eTreynor ratio  (\u003ci\u003eReward to volatility\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eAppraisal ratio \u003ci\u003e(or Treynor-Black ratio)\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eFactor Models\u003c\/p\u003e \u003cp\u003eFama decomposition\u003c\/p\u003e \u003cp\u003eSelectivity\u003c\/p\u003e \u003cp\u003eDiversification\u003c\/p\u003e \u003cp\u003eNet selectivity\u003c\/p\u003e \u003cp\u003eFama-French three factor model\u003c\/p\u003e \u003cp\u003eThree factor \u003ci\u003ealpha\u003c\/i\u003e (or Fama-French \u003ci\u003ealpha\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eCarhart four factor model\u003c\/p\u003e \u003cp\u003eFour factor \u003ci\u003ealpha\u003c\/i\u003e (or Carhart’s \u003ci\u003ealpha\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eMulti-factor Models\u003c\/p\u003e \u003cp\u003eDrawdown\u003c\/p\u003e \u003cp\u003eAverage drawdown\u003c\/p\u003e \u003cp\u003eMaximum drawdown\u003c\/p\u003e \u003cp\u003eLargest individual drawdown\u003c\/p\u003e \u003cp\u003eRecovery time (or drawdown duration)\u003c\/p\u003e \u003cp\u003eDrawdown deviation\u003c\/p\u003e \u003cp\u003eUlcer index\u003c\/p\u003e \u003cp\u003ePain index\u003c\/p\u003e \u003cp\u003eCalmar ratio (\u003ci\u003eor Drawdown ratio\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eMAR ratio\u003c\/p\u003e \u003cp\u003eSterling ratio\u003c\/p\u003e \u003cp\u003eSterling-Calmar ratio\u003c\/p\u003e \u003cp\u003eBurke ratio\u003c\/p\u003e \u003cp\u003eModified Burke ratio\u003c\/p\u003e \u003cp\u003eMartin ratio (\u003ci\u003eor Ulcer performance index\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003ePain ratio\u003c\/p\u003e \u003cp\u003ePartial Moments\u003c\/p\u003e \u003cp\u003eDownside risk (\u003ci\u003eor semi-standard deviation\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eDownside potential\u003c\/p\u003e \u003cp\u003ePure downside risk\u003c\/p\u003e \u003cp\u003eHalf variance (\u003ci\u003eor semi-variance\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eUpside risk (\u003ci\u003eor upside uncertainty\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eMean absolute moment\u003c\/p\u003e \u003cp\u003e\u003ci\u003eOmega\u003c\/i\u003e ratio (W)\u003c\/p\u003e \u003cp\u003eBernardo \u0026amp; Ledoit (\u003ci\u003eor gain–loss\u003c\/i\u003e\u003ci\u003e) \u003c\/i\u003eratio\u003c\/p\u003e \u003cp\u003e\u003ci\u003ed\u003c\/i\u003e ratio\u003c\/p\u003e \u003cp\u003e\u003ci\u003eOmega\u003c\/i\u003e-Sharpe ratio\u003c\/p\u003e \u003cp\u003eSortino ratio\u003c\/p\u003e \u003cp\u003eReward to half-variance\u003c\/p\u003e \u003cp\u003eDownside risk Sharpe ratio\u003c\/p\u003e \u003cp\u003eSortino-Satchell ratio\u003c\/p\u003e \u003cp\u003eKappa ratio\u003c\/p\u003e \u003cp\u003eUpside potential ratio\u003c\/p\u003e \u003cp\u003eVolatility skewness\u003c\/p\u003e \u003cp\u003eVariability skewness\u003c\/p\u003e \u003cp\u003eFarinelli-Tibiletti Ratio\u003c\/p\u003e \u003cp\u003eProspect ratio\u003c\/p\u003e \u003cp\u003eFixed Income Risk\u003c\/p\u003e \u003cp\u003ePricing fixed income instruments\u003c\/p\u003e \u003cp\u003eRedemption yield (yield to maturity)\u003c\/p\u003e \u003cp\u003eWeighted average cash flow\u003c\/p\u003e \u003cp\u003eDuration (effective mean term, discounted mean term or volatility)\u003c\/p\u003e \u003cp\u003eMacaulay duration\u003c\/p\u003e \u003cp\u003eMacaulay-Weil duration\u003c\/p\u003e \u003cp\u003eModified duration\u003c\/p\u003e \u003cp\u003ePortfolio duration\u003c\/p\u003e \u003cp\u003eEffective duration (\u003ci\u003eor option-adjusted duration\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eDuration to worst\u003c\/p\u003e \u003cp\u003eConvexity\u003c\/p\u003e \u003cp\u003eModified convexity\u003c\/p\u003e \u003cp\u003eEffective convexity\u003c\/p\u003e \u003cp\u003ePortfolio convexity\u003c\/p\u003e \u003cp\u003eBond returns\u003c\/p\u003e \u003cp\u003eDuration \u003ci\u003ebeta\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eReward to duration\u003c\/p\u003e \u003cp\u003eMiscellaneous Risk Measures\u003c\/p\u003e \u003cp\u003eHurst index (or \u003ci\u003eHurst exponent\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eBias ratio\u003c\/p\u003e \u003cp\u003eActive Share\u003c\/p\u003e \u003cp\u003eValue at Risk (\u003ci\u003eVaR\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eRisk-adjusted return\u003c\/p\u003e \u003cp\u003e\u003ci\u003eM\u003csup\u003e2\u003c\/sup\u003e\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e\u003ci\u003eM\u003csup\u003e2\u003c\/sup\u003e\u003c\/i\u003e excess return\u003c\/p\u003e \u003cp\u003eDifferential return\u003c\/p\u003e \u003cp\u003eAdjusted \u003ci\u003eM\u003csup\u003e2\u003c\/sup\u003e\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eSkew-adjusted \u003ci\u003eM\u003csup\u003e2\u003c\/sup\u003e\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eTypes of Excess Return (\u003ci\u003eor Alpha\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eA Periodic Table of Risk Measures\u003c\/p\u003e \u003cp\u003ePeriodic Table Design\u003c\/p\u003e \u003cp\u003eWhy measure ex-post risk?\u003c\/p\u003e \u003cp\u003eWhich risk measures to use?\u003c\/p\u003e \u003cp\u003eHedge funds\u003c\/p\u003e \u003cp\u003eSmoothing\u003c\/p\u003e \u003cp\u003eOutliers\u003c\/p\u003e \u003cp\u003eData mining\u003c\/p\u003e \u003cp\u003eTime Period\u003c\/p\u003e \u003cp\u003eChapter 6 Return Attribution  280\u003c\/p\u003e \u003cp\u003eWhat is Attribution?\u003c\/p\u003e \u003cp\u003eDefinition\u003c\/p\u003e \u003cp\u003eAttribution as an asset management tool\u003c\/p\u003e \u003cp\u003eEarly Development\u003c\/p\u003e \u003cp\u003eTypes of Return Attribution\u003c\/p\u003e \u003cp\u003eReturns-based (\u003ci\u003eregression\u003c\/i\u003e \u003ci\u003eor factor\u003c\/i\u003e) Attribution\u003c\/p\u003e \u003cp\u003eHoldings-based \u003ci\u003e(or buy\/hold)\u003c\/i\u003e Attribution\u003c\/p\u003e \u003cp\u003eTransaction-based Attribution\u003c\/p\u003e \u003cp\u003eArithmetic Attribution\u003c\/p\u003e \u003cp\u003eBrinson, Hood \u0026amp; Beebower\u003c\/p\u003e \u003cp\u003eAsset Allocation\u003c\/p\u003e \u003cp\u003eSecurity (or Stock) Selection\u003c\/p\u003e \u003cp\u003eInteraction\u003c\/p\u003e \u003cp\u003eBrinson \u0026amp; Fachler\u003c\/p\u003e \u003cp\u003eInteraction\u003c\/p\u003e \u003cp\u003eGeometric Excess Return Attribution\u003c\/p\u003e \u003cp\u003eAsset allocation\u003c\/p\u003e \u003cp\u003eStock selection\u003c\/p\u003e \u003cp\u003eSector Weights\u003c\/p\u003e \u003cp\u003eFrequency of Analysis\u003c\/p\u003e \u003cp\u003eSecurity Level Attribution\u003c\/p\u003e \u003cp\u003eTransaction costs\u003c\/p\u003e \u003cp\u003eOff-benchmark (\u003ci\u003eor zero weight sector\u003c\/i\u003e) attribution\u003c\/p\u003e \u003cp\u003eAttribution consistent with the Investment Decision Process\u003c\/p\u003e \u003cp\u003eMarket Neutral Attribution\u003c\/p\u003e \u003cp\u003eAttribution for 130\/30 funds (\u003ci\u003eor extended short funds\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eLeverage (\u003ci\u003eor gearing\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eAttribution including derivatives\u003c\/p\u003e \u003cp\u003eAttribution including Equity Index Futures\u003c\/p\u003e \u003cp\u003eAttribution Analysis using options\u003c\/p\u003e \u003cp\u003eMulti-currency attribution\u003c\/p\u003e \u003cp\u003eAnkrim \u0026amp; Hensel\u003c\/p\u003e \u003cp\u003eKarnosky \u0026amp; Singer\u003c\/p\u003e \u003cp\u003eGeometric Multi-Currency Attribution\u003c\/p\u003e \u003cp\u003eNaïve Currency Attribution\u003c\/p\u003e \u003cp\u003eCompounding effects\u003c\/p\u003e \u003cp\u003eGeometric Currency Allocation\u003c\/p\u003e \u003cp\u003eCurrency Timing\u003c\/p\u003e \u003cp\u003eInterest Rate Differentials\u003c\/p\u003e \u003cp\u003eRevised Currency Allocation\u003c\/p\u003e \u003cp\u003eRevised Country Allocation\u003c\/p\u003e \u003cp\u003eIncorporating Forward Currency Contracts\u003c\/p\u003e \u003cp\u003eSummarising\u003c\/p\u003e \u003cp\u003eOther Currency Issues\u003c\/p\u003e \u003cp\u003eFixed Income Attribution\u003c\/p\u003e \u003cp\u003eThe Yield Curve\u003c\/p\u003e \u003cp\u003eYield curve analysis\u003c\/p\u003e \u003cp\u003eShift\u003c\/p\u003e \u003cp\u003eTwist (\u003ci\u003eor slope\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eCurvature (\u003ci\u003eor butterfly\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eCarry\u003c\/p\u003e \u003cp\u003eCredit (\u003ci\u003eor spread\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eYield Curve Decomposition\u003c\/p\u003e \u003cp\u003eWagner \u0026amp; Tito\u003c\/p\u003e \u003cp\u003eWeighted Duration Attribution\u003c\/p\u003e \u003cp\u003eGeometric Fixed Income Attribution\u003c\/p\u003e \u003cp\u003eCampisi Framework\u003c\/p\u003e \u003cp\u003eYield Curve Decomposition\u003c\/p\u003e \u003cp\u003eMulti-period attribution\u003c\/p\u003e \u003cp\u003eSmoothing Algorithms\u003c\/p\u003e \u003cp\u003eCarino\u003c\/p\u003e \u003cp\u003eMenchero\u003c\/p\u003e \u003cp\u003eLinking Algorithms\u003c\/p\u003e \u003cp\u003eGRAP Method\u003c\/p\u003e \u003cp\u003eFrongello\u003c\/p\u003e \u003cp\u003eDavies \u0026amp; Laker\u003c\/p\u003e \u003cp\u003eMulti-period Geometric Attribution\u003c\/p\u003e \u003cp\u003eAnnualisation of Excess Return\u003c\/p\u003e \u003cp\u003eAttribution Annualisation\u003c\/p\u003e \u003cp\u003eContribution Analysis (\u003ci\u003eor absolute return attribution)\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eRisk-adjusted Attribution\u003c\/p\u003e \u003cp\u003eSelectivity\u003c\/p\u003e \u003cp\u003eMulti-level Attribution\u003c\/p\u003e \u003cp\u003eBalanced attribution\u003c\/p\u003e \u003cp\u003eEvolution of performance attribution methodologies\u003c\/p\u003e \u003cp\u003eChapter 7 Performance Presentation Standards\u003c\/p\u003e \u003cp\u003eWhy do we need performance presentation standards?\u003c\/p\u003e \u003cp\u003eGlobal Investment Performance Standards (GIPS\u003csup\u003e®\u003c\/sup\u003e) – A history\u003c\/p\u003e \u003cp\u003eAdvantages for Asset Managers\u003c\/p\u003e \u003cp\u003eThe GIPS Standards\u003c\/p\u003e \u003cp\u003eFundamentals of Compliance\u003c\/p\u003e \u003cp\u003eDefinition of the Firm\u003c\/p\u003e \u003cp\u003eMaintaining Policies and Procedures\u003c\/p\u003e \u003cp\u003eProviding GIPS Reports\u003c\/p\u003e \u003cp\u003eBenchmark Selection\u003c\/p\u003e \u003cp\u003eCorrecting Errors in GIPS Reports\u003c\/p\u003e \u003cp\u003eComposite Descriptions\u003c\/p\u003e \u003cp\u003eRecordkeeping\u003c\/p\u003e \u003cp\u003eLinking of theoretical and actual performance\u003c\/p\u003e \u003cp\u003ePortability\u003c\/p\u003e \u003cp\u003eUse of time-weighted or money-weighted returns\u003c\/p\u003e \u003cp\u003eClaiming Compliance with the GIPS standards.\u003c\/p\u003e \u003cp\u003eInput Data and Calculation Methodology\u003c\/p\u003e \u003cp\u003eFirm Assets, Composite Assets and Pooled Fund Assets\u003c\/p\u003e \u003cp\u003eOverlay Exposure\u003c\/p\u003e \u003cp\u003eReturns\u003c\/p\u003e \u003cp\u003eValuation\u003c\/p\u003e \u003cp\u003eTime-Weighted Returns\u003c\/p\u003e \u003cp\u003eMoney-weighted Returns\u003c\/p\u003e \u003cp\u003eNet Returns\u003c\/p\u003e \u003cp\u003eComposite Returns\u003c\/p\u003e \u003cp\u003ePrivate Market Investments\u003c\/p\u003e \u003cp\u003eReal Estate\u003c\/p\u003e \u003cp\u003eNet-of-fee Carve-outs returns\u003c\/p\u003e \u003cp\u003eWrap fee, side pockets and subscription lines of credit\u003c\/p\u003e \u003cp\u003eComposite and Pooled Fund Maintenance\u003c\/p\u003e \u003cp\u003eComposite Maintenance\u003c\/p\u003e \u003cp\u003eCarve-Outs\u003c\/p\u003e \u003cp\u003ePresentation and Reporting\u003c\/p\u003e \u003cp\u003eComposite Time-weighted Return Report\u003c\/p\u003e \u003cp\u003eReturns, Dispersion \u0026amp; Risk\u003c\/p\u003e \u003cp\u003eUnobservable inputs, gross or net-of-fees, multiple benchmarks, breaks in performance, carve-outs and non-fee-paying portfolios\u003c\/p\u003e \u003cp\u003eCommitted Capital and Advisory Assets\u003c\/p\u003e \u003cp\u003eReporting currency, carve-outs, overlay strategies, wrap fees and supplemental information\u003c\/p\u003e \u003cp\u003eComposite Money-weighted Reports\u003c\/p\u003e \u003cp\u003eComposite Cumulative Committed Capital\u003c\/p\u003e \u003cp\u003eTotal Value to Since-inception Paid in Capital (\u003ci\u003eTVPI or Multiple of Investment Capital (MOIC) or Investment Multiple\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eSince-inception Distributions to Since-inception Paid-in Capital \u003ci\u003e(Realisation multiple or DPI)\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eSince-inception Paid-in Capital to cumulative Committed Capital (PIC Multiple)\u003c\/p\u003e \u003cp\u003eResidual Value to since-Inception Paid-in Capital (\u003ci\u003eUnrealised Multiple or RVPI\u003c\/i\u003e)\u003c\/p\u003e \u003cp\u003eDisclosures\u003c\/p\u003e \u003cp\u003eClaim of Compliance\u003c\/p\u003e \u003cp\u003eFirm, composite and benchmark definitions\u003c\/p\u003e \u003cp\u003eFee disclosures\u003c\/p\u003e \u003cp\u003eInception date, creation date, composite lists availability of policies and procedures, leverage and estimated transaction costs.\u003c\/p\u003e \u003cp\u003eSignificant events, redefinition, minimum asset levels and withholding tax\u003c\/p\u003e \u003cp\u003eConflicts with regulation, carve-out disclosures \u0026amp; sub-advisors.\u003c\/p\u003e \u003cp\u003eBenchmark Disclosures\u003c\/p\u003e \u003cp\u003eSignificant cash flow disclosure and material errors.\u003c\/p\u003e \u003cp\u003eRisk measures, overlay strategy, real estate valuation and theoretical performance disclosures.\u003c\/p\u003e \u003cp\u003eSample GIPS Composite Report\u003c\/p\u003e \u003cp\u003eGIPS Advertising Guidelines\u003c\/p\u003e \u003cp\u003eFundamental requirements of the GIPS Advertising Guidelines\u003c\/p\u003e \u003cp\u003eGIPS Advertisements that do not include performance.\u003c\/p\u003e \u003cp\u003eGIPS advertisements for composites\u003c\/p\u003e \u003cp\u003eGIPS Advertisements for a Broad Distribution Pooled Fund\u003c\/p\u003e \u003cp\u003eVerification\u003c\/p\u003e \u003cp\u003ePerformance Examination\u003c\/p\u003e \u003cp\u003eAchieving Compliance\u003c\/p\u003e \u003cp\u003eMaintaining Compliance\u003c\/p\u003e \u003cp\u003eGIPS Standards for Asset Owners\u003c\/p\u003e \u003cp\u003eChapter 8 Bringing it all together\u003c\/p\u003e \u003cp\u003eEffective dashboards\u003c\/p\u003e \u003cp\u003eData visualisation tools\u003c\/p\u003e \u003cp\u003eManager Selection\u003c\/p\u003e \u003cp\u003eAsset Manager Selection\u003c\/p\u003e \u003cp\u003eManager Evaluation\u003c\/p\u003e \u003cp\u003ePortfolio Evaluation\u003c\/p\u003e \u003cp\u003eMonitoring and Control\u003c\/p\u003e \u003cp\u003eThe Four Dimensions of Performance\u003c\/p\u003e \u003cp\u003eEx-post Return (The traditional dimension)\u003c\/p\u003e \u003cp\u003eEx-post Risk (The neglected dimension)\u003c\/p\u003e \u003cp\u003eEx-ante Return (The unknown dimension)\u003c\/p\u003e \u003cp\u003eEx-ante Risk (The “sexy” dimension)\u003c\/p\u003e \u003cp\u003eRisk efficiency ratio\u003c\/p\u003e \u003cp\u003ePerformance efficiency\u003c\/p\u003e \u003cp\u003eRisk control structure\u003c\/p\u003e \u003cp\u003eRisk management\u003c\/p\u003e \u003cp\u003eGlossary of Key Terms\u003c\/p\u003e \u003cp\u003eAppendix A - Simple Attribution\u003c\/p\u003e \u003cp\u003eAppendix B - Multi-Currency Attribution Methodology\u003c\/p\u003e \u003cp\u003eBibliography\u003c\/p\u003e \u003cp\u003eIndex\u003c\/p\u003e  \u003cp\u003e\u003cb\u003eCARL R. BACON, CIPM,\u003c\/b\u003e is Chief Advisor to Confluence. He is a member of the Advisory Board of the Journal of Performance Measurement and Founder of The Freedom Index Company. He is the former Chairman of StatPro plc, Director of Risk Control and Performance at Foreign \u0026amp; Colonial Management Ltd and Vice President Head of Performance (Europe) for JP Morgan Investment Management Inc.   \u003c\/p\u003e\u003cp\u003ePerformance measurement and attribution are crucial tools used to inform investment decisions and strategies. In the newly revised Third Edition of \u003ci\u003ePractical Portfolio Performance Measurement and Attribution\u003c\/i\u003e, accomplished finance professional and software developer Carl R. Bacon delivers a comprehensive reference book for performance measurement professionals. The book focuses on the practical use and calculation of performance returns, rather than academic background and theory. \u003c\/p\u003e\u003cp\u003eOffering extensive, real-world examples of attribution analysis and risk calculations supported by Excel spreadsheets, the book shows you how to determine the risk-adjusted return on assets in a portfolio, why the portfolio has performed in that way, and how to improve the performance. \u003c\/p\u003e\u003cp\u003eThe author explores the mathematical aspects of performance measurement and attribution in a clear, straightforward, and easy-to-understand fashion, offering worked examples that help the reader understand the concepts contained within. He draws on decades of experience at the forefront of developments in global investment performance standards, performance attribution techniques, and risk measurement. \u003c\/p\u003e\u003cp\u003eThis latest edition is aligned with the publication of the Global Investment Performance Standards in 2020 and covers the entire performance measurement process. Readers will find detailed return calculations, including various methods and discussion of calculation issues, multiple attribution methodologies, all commonly used measures of risk, and a presentation of performance information and manager selection. \u003c\/p\u003e\u003cp\u003ePerfect for users and providers of performance analysis, \u003ci\u003ePractical Portfolio Performance Measurement and Attribution\u003c\/i\u003e is an invaluable resource for asset managers, owners, and consultants, asset servicing firms, risk controllers, compliance professionals, and pension fund trustees.   \u003c\/p\u003e\u003cp\u003e\u003cb\u003eA PRACTICAL GUIDE TO THE APPLICATION OF PERFORMANCE MEASUREMENT AND ATTRIBUTION ANALYSIS\u003c\/b\u003e \u003c\/p\u003e\u003cp\u003eIn the thoroughly updated Third Edition of \u003ci\u003ePractical Portfolio Performance Measurement and Attribution\u003c\/i\u003e, risk and performance measurement expert Carl R. Bacon delivers a roadmap to the real-world application of performance measurement and attribution techniques. Full of worked examples, the book walks readers through the determination of a portfolio’s return on assets, the causes of its performance, and ways to improve performance. \u003c\/p\u003e\u003cp\u003eYou’ll explore a variety of detailed return calculation methods and learn to avoid common calculation issues and mistakes. You’ll also discover multiple attribution methodologies, risk measures, and consider the new 2020 Global Investment Performance Standards. Performance information and manager selection criteria are also presented. \u003c\/p\u003e\u003cp\u003eWith a heavy focus on applicable and straightforward guidance, \u003ci\u003ePractical Portfolio Performance Measurement and Attribution\u003c\/i\u003e is a must-read how-to guide for asset managers, owners, and consultants, as well as compliance professionals, portfolio managers, verifiers, and pension fund trustees seeking a one-stop reference on performance measurement and attribution.\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47989834842341,"sku":"NP9781119831945","price":105.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9781119831945.jpg?v=1761785621","url":"https:\/\/k12savings.com\/products\/practical-portfolio-performance-measurement-and-attribution-isbn-9781119831945","provider":"K12savings","version":"1.0","type":"link"}