{"product_id":"the-complete-guide-to-portfolio-performance-isbn-9781119930174","title":"The Complete Guide to Portfolio Performance","description":"\u003cp\u003e\u003cb\u003eAn intuitive and effective desk reference for performance measurement in asset and wealth management\u003c\/b\u003e \u003c\/p\u003e\u003cp\u003eIn \u003ci\u003eThe Complete Guide to Portfolio Performance: Appraise, Analyse, Act,\u003c\/i\u003e a team of finance professors with extended practical experience deliver a hands-on desk reference for asset and wealth managers suitable for everyday use. Intuitively organized and full of concrete examples of the real-world implementation of the concepts discussed within, the book provides a comprehensive coverage of all important portfolio performance matters across 18 chapters of actionable and clearly described content. The authors have provided relevant cross-referencing where appropriate, “Key Takeaways and Equations” sections at the end of each chapter, and pointers to additional resources for anyone interested in pursuing further research. \u003c\/p\u003e\u003cp\u003eYou'll also find: \u003c\/p\u003e\u003cul\u003e \u003cli\u003eDiscussions of more than a hundred classical and modern performance measures organized logically and with a focus on their applications\u003c\/li\u003e \u003cli\u003eStrategies for selecting appropriate performance measures based on your situation as a manager or investor\u003c\/li\u003e \u003cli\u003eExplanations of analytical techniques (statistical approaches, attribution, fund ratings...) enabling a comprehensive use of performance-related information\u003c\/li\u003e \u003cli\u003eApplications of portfolio performance criteria in concrete investment decision-making processes\u003c\/li\u003e \u003cli\u003eHighly actionable and logically organized material that's easy to find at a moment's notice\u003c\/li\u003e \u003cli\u003eA full set of pedagogical powerpoint slides and excel worksheets with all data and formulas\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003ePerfect for investors, portfolio managers, advisors, analysts, and regulators, \u003ci\u003eThe Complete Guide to Portfolio Performance\u003c\/i\u003e is also a must-read reference for students and practitioners of asset and wealth management, as well as those pursuing certification such as CFA, CIPM, CIIA, and CAIA. \u003c\/p\u003e\u003cp\u003ePreface xxvii\u003c\/p\u003e \u003cp\u003eAcknowledgements xxxi\u003c\/p\u003e \u003cp\u003eAbout the Website xxxiii\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 The Scope of Portfolio Performance 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 From Portfolio Management to Portfolio Performance 2\u003c\/p\u003e \u003cp\u003e1.2 Rolling Out the Three Layers of Performance Evaluation 10\u003c\/p\u003e \u003cp\u003e1.3 Returns, Risk, and Benchmarks 17\u003c\/p\u003e \u003cp\u003eKey Takeaways and Equations 27\u003c\/p\u003e \u003cp\u003eReferences 30\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart I Classical Performance Measurement 33\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 Standard Portfolio Theory and the CAPM 35\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 The Portfolio Allocation Problem 37\u003c\/p\u003e \u003cp\u003e2.2 The Market Portfolio and the Security Market Line 45\u003c\/p\u003e \u003cp\u003e2.3 Implementing the CAPM 53\u003c\/p\u003e \u003cp\u003e2.4 Multifactor Models 64\u003c\/p\u003e \u003cp\u003eKey Takeaways and Equations 72\u003c\/p\u003e \u003cp\u003eReferences 73\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 Classical Portfolio Performance Measures 77\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 Peer Group Comparisons 80\u003c\/p\u003e \u003cp\u003e3.2 The Sharpe Ratio 87\u003c\/p\u003e \u003cp\u003e3.3 The Treynor Ratio, Jensen’s Alpha, and the Modified Jensen’s Alpha 100\u003c\/p\u003e \u003cp\u003e3.4 The Information Ratio 114\u003c\/p\u003e \u003cp\u003eKey Takeaways and Equations 126\u003c\/p\u003e \u003cp\u003eReferences 129\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 Selecting a Classical Performance Measure 131\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 Risk and Measurement Dimensions 134\u003c\/p\u003e \u003cp\u003e4.2 Choosing a Measure for the Investor: The Normative Approach 140\u003c\/p\u003e \u003cp\u003e4.3 Choosing a Measure for the Investor: The Positive Approach 154\u003c\/p\u003e \u003cp\u003e4.4 Choosing a Measure for the Manager 167\u003c\/p\u003e \u003cp\u003eKey Takeaways and Equations 177\u003c\/p\u003e \u003cp\u003eReferences 180\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Pitfalls and Dangers with the Classical Performance Measures 183\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 Issues with the Standard Portfolio Theory Framework 185\u003c\/p\u003e \u003cp\u003e5.2 Issues with the Capital Asset Pricing Model 197\u003c\/p\u003e \u003cp\u003e5.3 Issues with the Sample 210\u003c\/p\u003e \u003cp\u003e5.4 Issues with the Regressions 223\u003c\/p\u003e \u003cp\u003e5.5 Issues with the Interpretations 233\u003c\/p\u003e \u003cp\u003eKey Takeaways and Equations 247\u003c\/p\u003e \u003cp\u003eReferences 250\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart II Developments in Performance Measurement 253\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 The Classical Performance Measures Revisited 255\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6.1 Refinements of the Sharpe Ratio 258\u003c\/p\u003e \u003cp\u003e6.2 Alterations of the Sharpe Ratio 276\u003c\/p\u003e \u003cp\u003e6.3 Alternative Versions of the other Classical Performance Measures 297\u003c\/p\u003e \u003cp\u003e6.4 Classical Performance Measures as Risk-Adjusted Returns 305\u003c\/p\u003e \u003cp\u003eKey Takeaways and Equations 318\u003c\/p\u003e \u003cp\u003eReferences 321\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 Performance Measurement in Multifactor Models 325\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7.1 Types of Linear Multifactor Models 327\u003c\/p\u003e \u003cp\u003e7.2 The Multifactor Alpha and the Multifactor Modified Alpha 345\u003c\/p\u003e \u003cp\u003e7.3 Other Classical Performance Measures Adapted to Multifactor Models 357\u003c\/p\u003e \u003cp\u003e7.4 Measuring Performance in Special Cases of Multifactor Models 364\u003c\/p\u003e \u003cp\u003eKey Takeaways and Equations 373\u003c\/p\u003e \u003cp\u003eReferences 376\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8 Performance Measurement with Market Timing 381\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e8.1 Piecewise-linear Regression Approach 385\u003c\/p\u003e \u003cp\u003e8.2 Polynomial Regression Approach 400\u003c\/p\u003e \u003cp\u003e8.3 Return-based Dynamic Exposures Approach 414\u003c\/p\u003e \u003cp\u003e8.4 Holding-based Dynamic Exposures Approach 424\u003c\/p\u003e \u003cp\u003e8.5 A Roadmap for Market Timing Performance Appraisal 434\u003c\/p\u003e \u003cp\u003eKey Takeaways and Equations 440\u003c\/p\u003e \u003cp\u003eReferences 443\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9 Preference-based Performance for the Standard Investor 447\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e9.1 The Structure of the Rational Investor’s Preferences 450\u003c\/p\u003e \u003cp\u003e9.2 Preference-based Performance in the Standard Portfolio Theory 456\u003c\/p\u003e \u003cp\u003e9.3 Performance Measurement with Standard Utility functions 468\u003c\/p\u003e \u003cp\u003eKey Takeaways and Equations 481\u003c\/p\u003e \u003cp\u003eReferences 484\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 10 Preference-based Performance for the Behavioral Investor 487\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e10.1 The Structure of the Behavioral Investor’s Preferences 489\u003c\/p\u003e \u003cp\u003e10.2 Performance Measurement with Behavioral Utility 494\u003c\/p\u003e \u003cp\u003e10.3 Performance as Ratios of Gains Over Losses 504\u003c\/p\u003e \u003cp\u003e10.4 Mental Accounting and Portfolio Performance 519\u003c\/p\u003e \u003cp\u003eKey Takeaways and Equations 534\u003c\/p\u003e \u003cp\u003eReferences 537\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart III Analyzing and Monitoring Performance 541\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 11 Navigating the Maze of Portfolio Performance 543\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e11.1 The Spectrum of Performance Measurement 544\u003c\/p\u003e \u003cp\u003e11.2 Ariadne’s String Taxonomy 573\u003c\/p\u003e \u003cp\u003e11.3 Analytical Sorting Approaches 581\u003c\/p\u003e \u003cp\u003e11.4 Statistical Sorting Approaches 593\u003c\/p\u003e \u003cp\u003e11.5 Dashboard 603\u003c\/p\u003e \u003cp\u003eKey Takeaways and Equations 607\u003c\/p\u003e \u003cp\u003eReferences 610\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 12 Performance Design for Specific Asset Classes 613\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e12.1 Fixed-Income Portfolio Returns 615\u003c\/p\u003e \u003cp\u003e12.2 Performance Framework for Fixed-Income Portfolios 622\u003c\/p\u003e \u003cp\u003e12.3 Illiquid Alternative Investment Portfolio Returns 635\u003c\/p\u003e \u003cp\u003e12.4 Performance Framework for Hedge Funds 643\u003c\/p\u003e \u003cp\u003e12.5 Performance Framework for Private Equity 650\u003c\/p\u003e \u003cp\u003eKey Takeaways and Equations 663\u003c\/p\u003e \u003cp\u003eReferences 666\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 13 The Granular Analysis of Performance 671\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e13.1 The Fundamentals of Performance Decomposition 678\u003c\/p\u003e \u003cp\u003e13.2 Attributing Performance 686\u003c\/p\u003e \u003cp\u003e13.3 Decomposing Risk-adjusted Performance Ratios 700\u003c\/p\u003e \u003cp\u003eKey Takeaways and Equations 714\u003c\/p\u003e \u003cp\u003eReferences 718\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 14 Performance Attribution Methods 719\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e14.1 Attribution Analysis for a Single Period 724\u003c\/p\u003e \u003cp\u003e14.2 Multiperiod Attribution Analysis 744\u003c\/p\u003e \u003cp\u003e14.3 Extending the Scope of Attribution Analysis 752\u003c\/p\u003e \u003cp\u003e14.4 Statistical Performance Attribution 774\u003c\/p\u003e \u003cp\u003eKey Takeaways and Equations 785\u003c\/p\u003e \u003cp\u003eReferences 789\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart IV Using Performance for Decision-making 791\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 15 Disclosing and Verifying Portfolio Performance 793\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e15.1 The Global Investment Performance Standards 794\u003c\/p\u003e \u003cp\u003e15.2 Communicating Fund Performance Effectively 802\u003c\/p\u003e \u003cp\u003e15.3 Communicating Personal Portfolio Performance Effectively 813\u003c\/p\u003e \u003cp\u003e15.4 Fund Ratings and Portfolio Analytics 818\u003c\/p\u003e \u003cp\u003eKey Takeaways and Equations 829\u003c\/p\u003e \u003cp\u003eReferences 831\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 16 Applications of Performance in Investment Decisions 835\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e16.1 Using Performance to Determine the Investment Universe 837\u003c\/p\u003e \u003cp\u003e16.2 Using Performance for Portfolio Strategy Design 847\u003c\/p\u003e \u003cp\u003e16.3 Using Performance to Serve Investor Needs 867\u003c\/p\u003e \u003cp\u003e16.4 Reconciling ESG Investments and Performance 886\u003c\/p\u003e \u003cp\u003eKey Takeaways and Equations 901\u003c\/p\u003e \u003cp\u003eReferences 905\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 17 Performance and Predictability 907\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e17.1 What does Predictability Encompass? 910\u003c\/p\u003e \u003cp\u003e17.2 Absolute Persistence 925\u003c\/p\u003e \u003cp\u003e17.3 Relative Persistence with Recursive Portfolios 944\u003c\/p\u003e \u003cp\u003e17.4 Relative Persistence with Matched Rankings 961\u003c\/p\u003e \u003cp\u003eKey Takeaways and Equations 972\u003c\/p\u003e \u003cp\u003eReferences 975\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 18 Agency Issues and Illusion of Performance 979\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e18.1 The Standard Agency Framework 980\u003c\/p\u003e \u003cp\u003e18.2 How to Mitigate Agency Conflicts? 986\u003c\/p\u003e \u003cp\u003e18.3 Performance Measurement and Agency Issues 998\u003c\/p\u003e \u003cp\u003e18.4 Designing a Normative Performance Measure 1013\u003c\/p\u003e \u003cp\u003e18.5 The Role of Luck in Performance Measurement 1023\u003c\/p\u003e \u003cp\u003eKey Takeaways and Equations 1029\u003c\/p\u003e \u003cp\u003eReferences 1031\u003c\/p\u003e \u003cp\u003eIndex 1037\u003c\/p\u003e  \u003cp\u003e\u003cb\u003ePASCAL FRANÇOIS \u003c\/b\u003e is Professor of Finance at HEC Montréal. He is the founding director of the Canadian Derivatives Institute and a former co-editor of \u003ci\u003eFinance\u003c\/i\u003e, the academic journal of the French Finance Association. He holds a PhD from Sorbonne University and ESSEC. \u003c\/p\u003e\u003cp\u003e\u003cb\u003eGEORGES HÜBNER \u003c\/b\u003e is Professor of Finance at HEC Liège (Liège University, Belgium). Georges serves as a non-executive director at Belfius Bank and Belfius Asset Management, as well as an expert member of the investment committee of the CERN pension fund (Geneva). He is also the founder of two fintech companies, Gambit Financial Solutions and Sopiad. He holds a PhD from INSEAD.   \u003c\/p\u003e\u003cp\u003e \u003cb\u003eAN EFFICIENT AND EFFECTIVE DESK REFERENCE FOR ASSET AND WEALTH MANAGEMENT PROFESSIONALS AND STUDENTS\u003c\/b\u003e \u003c\/p\u003e\u003cp\u003e In \u003ci\u003eThe Complete Guide to Portfolio Performance: Appraise, Analyse, Act\u003c\/i\u003e, a team of distinguished finance professors with practical experience delivers a comprehensive guide to all aspects of portfolio performance from the perspective of investors, portfolio managers, analysts, and regulators. In the book, you’ll explore the core topics of portfolio performance measurement in a realistic and rigorous way. You’ll find actionable and clearly illustrated content with practical examples that demonstrate the application of the concepts discussed within.  \u003c\/p\u003e\u003cp\u003eThe authors clearly organize the material inside, making information easy to find and highly discoverable. The book is structured in four parts and eighteen chapters, contains relevant cross-referencing, as well as a “Key Takeaways and Equations” section at the conclusion of each chapter. They’ve also provided pointers to specialized sources for those interested in conducting additional research.  \u003c\/p\u003e\u003cp\u003ePerfect for professionals and students alike, \u003ci\u003eThe Complete Guide to Portfolio Performance \u003c\/i\u003eis the hands-on roadmap to the subject that investors, securities analysts, financial regulators, and investment managers have been waiting for.   \u003c\/p\u003e\u003cp\u003e\u003cb\u003e\u003csmall\u003ePRAISE FOR THE COMPLETE GUIDE TO\u003c\/small\u003e PORTFOLIO PERFORMANCE\u003c\/b\u003e \u003c\/p\u003e\u003cp\u003e “This is indeed a \u003ci\u003eComplete Guide to Portfolio Performance\u003c\/i\u003e. The authors have described a range of possible measures and evaluated their usefulness in theory and in practice. It will serve as both an introduction to this important subject and a reference work for those concerned with measuring and analyzing the performance of investment portfolios.” \u003cbr\u003e — \u003cb\u003eWilliam F. Sharpe, \u003c\/b\u003e Professor Emeritus, Stanford University, Nobel Prize in Economic Sciences 1990  \u003c\/p\u003e\u003cp\u003e“Performance measurement has expanded in many directions over the last decades. François and Hübner provide a much needed, ambitious synthesis. Their \u003ci\u003eComplete Guide to Portfolio Performance \u003c\/i\u003eis the reference that should always be within immediate reach, with the confidence that insightful answers about any question related to portfolio performance will be found. The authors do not only effectively synthesize the state-of-the-art knowledge in the field, but they also bring their own original and specific contributions on many occasions. A massive tour de force.” \u003cbr\u003e — \u003cb\u003eFrank J. Fabozzi, \u003c\/b\u003eProfessor of Practice, The Johns Hopkins University, Carey Business School. Editor of \u003ci\u003eThe Journal of Portfolio Management \u003c\/i\u003e \u003c\/p\u003e\u003cp\u003e“The book analyzes many facets of performance appraisal but also explains how it is integrated within the portfolio management process. Each topic is reviewed with rigor and augmented with practical and easy-to-implement examples.” \u003cbr\u003e — \u003cb\u003eNaïm Abou-Jaoudé, \u003c\/b\u003eChief Executive Officer, New York Life Investments Management  \u003c\/p\u003e\u003cp\u003e“Measuring and communicating portfolio performance in a transparent and faithful manner are key to deserve the trust of the investor. This impressive book constitutes a major contribution to this important field for all financial market participants.” \u003cbr\u003e —\u003cb\u003eJean-Paul Servais, \u003c\/b\u003eChairman of the FSMA and IOSCO\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47990193062117,"sku":"NP9781119930174","price":69.5,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9781119930174.jpg?v=1761786862","url":"https:\/\/k12savings.com\/products\/the-complete-guide-to-portfolio-performance-isbn-9781119930174","provider":"K12savings","version":"1.0","type":"link"}