Carl R. Bacon

Practical Portfolio Performance Measurement and Attribution (eBook, PDF)

• Format: PDF

Produktbeschreibung

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.

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Produktdetails

• Verlag: John Wiley & Sons
• Seitenzahl: 560
• Erscheinungstermin: 19. Januar 2023
• Englisch
• ISBN-13: 9781119831952
• Artikelnr.: 67361836

Autorenporträt

CARL R. BACON, CIPM, 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 & Colonial Management Ltd and Vice President Head of Performance (Europe) for JP Morgan Investment Management Inc.

Inhaltsangabe

Contents

Acknowledgements

Contents

Chapter 1 Introduction

The Performance Measurement Process

Role of performance analysts

Book Structure

Chapter 2 The Asset Management Industry

Asset Classes

Public Equities

Bonds (or Fixed Income)

Cash (and near cash)

Private Assets

Real Estate

Private Equity

Private Debt

Infrastructure

Natural Resources

Commodities

Derivatives

Futures

Forwards

Swaps

Contracts for Difference (CFD)

Options

Overlay Strategies

Currency

Hedge Funds

Asset Allocation

Strategic asset allocation

Tactical asset allocation.

Chapter 3 The Mathematics of Portfolio Return

Simple Return

Continuously Compounded (or logarithmic) Returns

Money-weighted Returns (MWR)

Internal Rate of Return (IRR)

Ex-ante Internal Rate of Return

Simple Internal Rate of Return

Ex-post Internal Rate of Return

Simple Dietz

ICAA Method

Modified Dietz

Time-Weighted Returns (TWR)

True Time-Weighted

Unit Price Method

Unit Price Method with Distributions

Time-weighted versus Money-weighted Rates of Return

Approximations to the Time Weighted Return

Index Substitution

Regression Method (or b method)

Analyst's Test

Hybrid Methodologies

Linked Modified Dietz

BAI Method (or linked IRR)

Which method to use?

Late Trading and Market Timing

Self-selection

Large Cash Flow

Self-selection of methodologies

Annualised Returns

Since Inception Internal Rate of Return (SI-IRR)

Modified IRR (MIRR)

Return Hiatus

Gross and net of fee calculations

Estimating gross and net of fee returns

Initial Fees

Performance Fees

Asymmetric or Symmetric

Crystallisation

Performance Fees in Practice

Equalization

Reporting Hierarchy

Overlay Strategies

Overlay performance return calculations:

Base currency and local returns

Currency conversions

Hedged Returns

Currency Overlay Returns

Perfectly Hedged Returns

Portfolio Component Returns

Money-weighted Component Returns

End of day

Beginning of day

Intra-day weighted

Differentiated

Actual Time

Rule-based

Extremely large cash flows

Which timing assumption to use for time-weighted returns?

Carve Outs

Sub-portfolios

Cash Sectors

Individual security returns

Multi-period component returns

Abnormal Returns

Short Positions

Contribution to return

Composite returns

Chapter 4 Benchmarks

Benchmarks

Benchmark attributes

The Role of Benchmarks

Types of Benchmarks

Commercial Indexes

Calculation methodologies

Aggregate Price Index (Price-weighted Index or Carli type)

Geometric (or Jevons type) Index

Market Capitalisation Index

Laspeyres Index

Paasche Index

Marshall - Edgeworth Index

Fisher Index

Equal weighted Indexes