Pascal Francois, Georges Hubner

The Complete Guide to Portfolio Performance (eBook, PDF)

Appraise, Analyze, Act

• Format: PDF

Produktbeschreibung

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.

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Produktdetails

• Verlag: John Wiley & Sons
• Seitenzahl: 1088
• Erscheinungstermin: 23. April 2024
• Englisch
• ISBN-13: 9781119930181
• Artikelnr.: 70669698

Autorenporträt

PASCAL FRANÇOIS is Professor of Finance at HEC Montréal. He is the founding director of the Canadian Derivatives Institute and a former co-editor of Finance, the academic journal of the French Finance Association. He holds a PhD from Sorbonne University and ESSEC. GEORGES HÜBNER 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.

Inhaltsangabe

Preface xxvii
 
Acknowledgements xxxi
 
About the Website xxxiii
 
Chapter 1 The Scope of Portfolio Performance 1
 
1.1 From Portfolio Management to Portfolio Performance 2
 
1.2 Rolling Out the Three Layers of Performance Evaluation 10
 
1.3 Returns, Risk, and Benchmarks 17
 
Key Takeaways and Equations 27
 
References 30
 
Part I Classical Performance Measurement 33
 
Chapter 2 Standard Portfolio Theory and the CAPM 35
 
2.1 The Portfolio Allocation Problem 37
 
2.2 The Market Portfolio and the Security Market Line 45
 
2.3 Implementing the CAPM 53
 
2.4 Multifactor Models 64
 
Key Takeaways and Equations 72
 
References 73
 
Chapter 3 Classical Portfolio Performance Measures 77
 
3.1 Peer Group Comparisons 80
 
3.2 The Sharpe Ratio 87
 
3.3 The Treynor Ratio, Jensen's Alpha, and the Modified Jensen's Alpha 100
 
3.4 The Information Ratio 114
 
Key Takeaways and Equations 126
 
References 129
 
Chapter 4 Selecting a Classical Performance Measure 131
 
4.1 Risk and Measurement Dimensions 134
 
4.2 Choosing a Measure for the Investor: The Normative Approach 140
 
4.3 Choosing a Measure for the Investor: The Positive Approach 154
 
4.4 Choosing a Measure for the Manager 167
 
Key Takeaways and Equations 177
 
References 180
 
Chapter 5 Pitfalls and Dangers with the Classical Performance Measures 183
 
5.1 Issues with the Standard Portfolio Theory Framework 185
 
5.2 Issues with the Capital Asset Pricing Model 197
 
5.3 Issues with the Sample 210
 
5.4 Issues with the Regressions 223
 
5.5 Issues with the Interpretations 233
 
Key Takeaways and Equations 247
 
References 250
 
Part II Developments in Performance Measurement 253
 
Chapter 6 The Classical Performance Measures Revisited 255
 
6.1 Refinements of the Sharpe Ratio 258
 
6.2 Alterations of the Sharpe Ratio 276
 
6.3 Alternative Versions of the other Classical Performance Measures 297
 
6.4 Classical Performance Measures as Risk-Adjusted Returns 305
 
Key Takeaways and Equations 318
 
References 321
 
Chapter 7 Performance Measurement in Multifactor Models 325
 
7.1 Types of Linear Multifactor Models 327
 
7.2 The Multifactor Alpha and the Multifactor Modified Alpha 345
 
7.3 Other Classical Performance Measures Adapted to Multifactor Models 357
 
7.4 Measuring Performance in Special Cases of Multifactor Models 364
 
Key Takeaways and Equations 373
 
References 376
 
Chapter 8 Performance Measurement with Market Timing 381
 
8.1 Piecewise-linear Regression Approach 385
 
8.2 Polynomial Regression Approach 400
 
8.3 Return-based Dynamic Exposures Approach 414
 
8.4 Holding-based Dynamic Exposures Approach 424
 
8.5 A Roadmap for Market Timing Performance Appraisal 434
 
Key Takeaways and Equations 440
 
References 443
 
Chapter 9 Preference-based Performance for the Standard Investor 447
 
9.1 The Structure of the Rational Investor's Preferences 450
 
9.2 Preference-based Performance in the Standard Portfolio Theory 456
 
9.3 Performance Measurement with Standard Utility functions 468
 
Key Takeaways and Equations 481
 
References 484
 
Chapter 10 Preference-based Performance for the Behavioral Investor 487
 
10.1 The Structure of the Behavioral Investor's Preferences 489
 
10.2 Performance Measurement with Behavioral Utility 494
 
10.3 Performance as Ratios of Gains Over Losses 504
 
10.4 Mental Accounting and Portfolio Performance 519
 
Key Takeaways and Equations 534
 
References 537
 
Part III Analyzing and Monitoring Performance 541
 
Chapter 11 Navigating the Maze of Portfolio Performance 543
 
11.1 The Spectrum of Performance Measurement 544
 
11.2 Ariadne's String Taxonomy 573
 
11.3 Analytical Sorting Approaches 581
 
11.4 Statistical Sorting Approaches 593
 
11.5 Dashboard 603
 
Key Takeaways and Equations 607
 
References 610
 
Chapter 12 Performance Design for Specific Asset Classes 613
 
12.1 Fixed-Income Portfolio Returns 615
 
12.2 Performance Framework for Fixed-Income Portfolios 622
 
12.3 Illiquid Alternative Investment Portfolio Returns 635
 
12.4 Performance Framework for Hedge Funds 643
 
12.5 Performance Framework for Private Equity 650
 
Key Takeaways and Equations 663
 
References 666
 
Chapter 13 The Granular Analysis of Performance 671
 
13.1 The Fundamentals of Performance Decomposition 678
 
13.2 Attributing Performance 686
 
13.3 Decomposing Risk-adjusted Performance Ratios 700
 
Key Takeaways and Equations 714
 
References 718
 
Chapter 14 Performance Attribution Methods 719
 
14.1 Attribution Analysis for a Single Period 724
 
14.2 Multiperiod Attribution Analysis 744
 
14.3 Extending the Scope of Attribution Analysis 752
 
14.4 Statistical Performance Attribution 774
 
Key Takeaways and Equations 785
 
References 789
 
Part IV Using Performance for Decision-making 791
 
Chapter 15 Disclosing and Verifying Portfolio Performance 793
 
15.1 The Global Investment Performance Standards 794
 
15.2 Communicating Fund Performance Effectively 802
 
15.3 Communicating Personal Portfolio Performance Effectively 813
 
15.4 Fund Ratings and Portfolio Analytics 818
 
Key Takeaways and Equations 829
 
References 831
 
Chapter 16 Applications of Performance in Investment Decisions 835
 
16.1 Using Performance to Determine the Investment Universe 837
 
16.2 Using Performance for Portfolio Strategy Design 847
 
16.3 Using Performance to Serve Investor Needs 867
 
16.4 Reconciling ESG Investments and Performance 886
 
Key Takeaways and Equations 901
 
References 905
 
Chapter 17 Performance and Predictability 907
 
17.1 What does Predictability Encompass? 910
 
17.2 Absolute Persistence 925
 
17.3 Relative Persistence with Recursive Portfolios 944
 
17.4 Relative Persistence with Matched Rankings 961
 
Key Takeaways and Equations 972
 
References 975
 
Chapter 18 Agency Issues and Illusion of Performance 979
 
18.1 The Standard Agency Framework 980
 
18.2 How to Mitigate Agency Conflicts? 986
 
18.3 Performance Measurement and Agency Issues 998
 
18.4 Designing a Normative Performance Measure 1013
 
18.5 The Role of Luck in Performance Measurement 1023
 
Key Takeaways and Equations 1029
 
References 1031
 
Index 1037