Practical Portfolio Performance Measurement and Attribution - Hardcover

Über die Autorin bzw. den Autor

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.

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Performance measurement and attribution are crucial tools used to inform investment decisions and strategies. In the newly revised Third Edition of Practical Portfolio Performance Measurement and Attribution, 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.

Offering 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.

The 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.

This 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.

Perfect for users and providers of performance analysis, Practical Portfolio Performance Measurement and Attribution is an invaluable resource for asset managers, owners, and consultants, asset servicing firms, risk controllers, compliance professionals, and pension fund trustees.

Aus dem Klappentext

Performance measurement and attribution are crucial tools used to inform investment decisions and strategies. In the newly revised Third Edition of Practical Portfolio Performance Measurement and Attribution, 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.

Offering 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.

The 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.

This 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.

Perfect for users and providers of performance analysis, Practical Portfolio Performance Measurement and Attribution is an invaluable resource for asset managers, owners, and consultants, asset servicing firms, risk controllers, compliance professionals, and pension fund trustees.