Performance Attribution History And Progress
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| Author | : Carl R. Bacon |
| Publisher | : CFA Institute Research Foundation |
| Total Pages | : 69 |
| Release | : 2019-12-23 |
| Genre | : Business & Economics |
| ISBN | : 1944960902 |
The objective of performance attribution is to explain portfolio performance relative to a benchmark, identify the sources of excess return, and relate those sources to active decisions by the portfolio manager. This review charts the development of attribution from its beginning with Fama decomposition in the 1970s, through its foundations in the 1980s, into its issues of multiperiod and multicurrency attribution in the 1990s, and ending on its more detailed models for fixed-income and risk-adjusted attribution in recent years. Types of attribution (including returns based, holdings based, and transaction based) are also discussed as is money-weighted attribution and developments associated with notional funds.
| Author | : Pascal François |
| Publisher | : John Wiley & Sons |
| Total Pages | : 1095 |
| Release | : 2024-04-23 |
| Genre | : Business & Economics |
| ISBN | : 1119930197 |
An intuitive and effective desk reference for performance measurement in asset and wealth management In The Complete Guide to Portfolio Performance: Appraise, Analyse, Act, 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. You'll also find: Discussions of more than a hundred classical and modern performance measures organized logically and with a focus on their applications Strategies for selecting appropriate performance measures based on your situation as a manager or investor Explanations of analytical techniques (statistical approaches, attribution, fund ratings...) enabling a comprehensive use of performance-related information Applications of portfolio performance criteria in concrete investment decision-making processes Highly actionable and logically organized material that's easy to find at a moment's notice A full set of pedagogical powerpoint slides and excel worksheets with all data and formulas Perfect for investors, portfolio managers, advisors, analysts, and regulators, The Complete Guide to Portfolio Performance 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.
| Author | : Carl R. Bacon |
| Publisher | : John Wiley & Sons |
| Total Pages | : 569 |
| Release | : 2023-02-28 |
| Genre | : Business & Economics |
| ISBN | : 1119831946 |
A practitioner's guide to the role and implications of performance measurement and attribution analysis in asset management firms Practical Portfolio Performance Measurement and Attribution 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 & Risk Control. The 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. Written by an acknowledged leader in global investment performance standards, performance attribution technique and risk measurement Aligns with the publication of the 2020 Global Investment Performance Standards (GIPS®) Explains the mathematical aspects of performance measurement and attribution in a clear, easy-to-understand manner Provides numerous practical and worked examples of attribution analysis and risk calculations supported by Excel spreadsheets Includes signposts for the future development of performance measurement Practical Portfolio Performance Measurement and Attribution, Third Edition, remains a must-have for performance analysts and risk controllers, portfolio managers, compliance professionals and all asset managers, owners, consultants and servicing firms.
| Author | : CFA Institute Research Foundation |
| Publisher | : CFA Institute Research Foundation |
| Total Pages | : 121 |
| Release | : 2020-03-17 |
| Genre | : Business & Economics |
| ISBN | : 1944960945 |
Research Foundation Review 2019 presents the offerings from CFA Institute Research Foundation during 2019. We start with an overview, summarize the year's output, and end with other relevant material, such as awards and recognition.
| Author | : Joshua Kendall |
| Publisher | : Taylor & Francis |
| Total Pages | : 452 |
| Release | : 2022-10-20 |
| Genre | : Business & Economics |
| ISBN | : 1000688550 |
This book provides the world’s first comprehensive account of responsible investment for fixed income investors. It enables readers to understand the key characteristics of fixed income investments and the relevance of sustainability-related issues to fixed income markets. The expert contributors to this volume explain how sustainability-related issues can be taken into account in fixed income research and decision-making, in portfolio construction, and in active ownership (engagement). They provide a series of detailed case-studies from different parts of the fixed income market (corporate investment grade and high yield, emerging markets, sovereign and municipal debt), from a range of organisations with a variety of investment approaches. The contributors also provide in-depth critical analysis of key issues such as the role and influence of credit rating agencies, green bonds, data and public policy in shaping investment practice. For investors, this book provides practical guidance on how to improve the financial and the sustainability performance of their fixed income investments. For stakeholders such as companies, civil society organisations, and governments it allows them to understand the role that fixed income might play in delivering the Sustainable Development Goals (SDGs), and to understand how they might encourage fixed income investors to pay greater attention to sustainability-related issues in their investment practices and processes.
| Author | : Mary I. O’Connor |
| Publisher | : Frontiers Media SA |
| Total Pages | : 254 |
| Release | : 2020-12-29 |
| Genre | : Science |
| ISBN | : 2889662926 |
This eBook is a collection of articles from a Frontiers Research Topic. Frontiers Research Topics are very popular trademarks of the Frontiers Journals Series: they are collections of at least ten articles, all centered on a particular subject. With their unique mix of varied contributions from Original Research to Review Articles, Frontiers Research Topics unify the most influential researchers, the latest key findings and historical advances in a hot research area! Find out more on how to host your own Frontiers Research Topic or contribute to one as an author by contacting the Frontiers Editorial Office: frontiersin.org/about/contact.
| Author | : National Research Council |
| Publisher | : National Academies Press |
| Total Pages | : 40 |
| Release | : 1996-10-12 |
| Genre | : Education |
| ISBN | : 0309055873 |
| Author | : Carl R. Bacon |
| Publisher | : John Wiley & Sons |
| Total Pages | : 488 |
| Release | : 2011-02-23 |
| Genre | : Business & Economics |
| ISBN | : 1119995477 |
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. The book covers the mathematical aspects of the topic in an accessible and practical way, making this book an essential reference for anyone involved in asset management.
| Author | : Andrew W. Lo |
| Publisher | : Princeton University Press |
| Total Pages | : 424 |
| Release | : 2022-11-15 |
| Genre | : Business & Economics |
| ISBN | : 0691183821 |
Why healthcare finance? -- From the laboratory to the patient -- Present value relations -- Evaluating business opportunities -- Valuing bonds -- Valuing stocks -- Portfolio management and the cost of capital -- Therapeutic development and clinical trials -- Decision trees and real options -- Monte Carlo simulation -- Healthcare analytics -- Biotech venture capital -- Securitizing biomedical assets -- Pricing, value, and ethics -- Epilogue : a case study pf royalty pharma.
| Author | : R. P. Abeles |
| Publisher | : Psychology Press |
| Total Pages | : 196 |
| Release | : 2014-02-25 |
| Genre | : Psychology |
| ISBN | : 1317766679 |
First published in 1987. There is a wide gap between life-span research and mainstream social psychology, and this book strikes a bright spark between these poles. promising as a corrective to narrowness and sterility. The chapters reflect a wide variety of approaches in social psychology, as well as considerable breadth in the range of ideas from life-span human development that are brought to bear.
