Practical Portfolio Performance Measurement and Attribution - Hardcover

Bacon, Carl R.

Hardcover

ISBN 10: 0470059281 ISBN 13: 9780470059289

Publisher: John Wiley & Sons Inc, 2008

Synopsis

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.<br /> <br /> <br /> 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.<br /> <br /> <br /> 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.

About this title

About the Author

<p><b><i>About the author</i></b> <p><b>CARL BACON</b> CIPM, is Chairman of StatPro, a data and software development specialist providing services for the asset management industry. He also runs his own consultancy business providing advice to asset managers on various risk and performance measurement issues. <p>Prior to joining StatPro, Carl was Director of Risk Control and Performance at Foreign & Colonial Management Ltd., Vice President Head of Performance (Europe) for J P Morgan Investment Management Inc., and Head of Performance for Royal Insurance Asset Management. <p>Carl holds a B.Sc. Hons. in Mathematics from Manchester University, is an executive committee member of Investment-Performance.com and also an associate tutor for 7city Learning. A founder member of both the Investment Performance Council and GIPS^®, Carl is ex-chair of the IPC Interpretations & IPC Verification Sub-Committees, and is a member of the Advisory Board of the Journal of Performance Measurement. <p>Author of the first edition of <i>Practical Portfolio Performance Measurement & Attribution</i> published in 2004 as part of the <i>Wiley Finance Series</i>Carl is also Editor of <i>Advanced Portfolio Attribution Analysis.</i>

From the Back Cover

&#34;Thoroughly revised and substantially enhanced, the second edition of Carl Bacon's work is indispensable for serious investment performance professionals.&#34;
&#151;Philip Lawton, CFA, CIPM Head, CIPM Program, CFA Institute

&#34;He's a standout, a true expert in the field. In an industry rife with interpretive necessity, Carl stays the course with useful instruction, experienced guidance, and well organized references to the mechanics of performance measurement and attribution. It's a practical resource that will continue to garner the audience it deserves.&#34;
&#151;Tobin S. Cochran, Partner/President, Ashland Partners &#38; Company LLP

&#34;Carl Bacon is one of the most knowledgeable professionals I know on the subject of performance measurement. He has been a pioneer, leader, and teacher at the forefront of developments in global investment performance measurement and attribution, risk measurement, and industry standards. I am very pleased he has significantly updated this timely and useful book with new emphasis on fixed income attribution, hedge funds, and derivatives. It is a great reference for all investment management professionals.&#34;
&#151;James Hollis, Managing Director, Cutter Associates

&#34;Carl has updated his book with further developments and to reflect his extensive travels and discussion about Performance Measurement. This second edition is now the most comprehensive guide to calculation and reporting techniques around the world and should be a feature on the desk of anyone working in, or using, Performance Measurement.&#34;
&#151;Brian Chapman, Director and Leader of GIPS related services, KPMG

&#34;Carl's first edition is a renowned reference manual. The second edition not only enhances each and every chapter but also addresses many of the latest topics in our industry. Carl's books always deliver unassailable help in an exceptionally effective manner; a compelling instructional handbook.&#34;
&#151;Mark Goodey, Head of Performance, Morley Fund Management &#40;AVIVA Investors&#41;

From the Inside Flap

"Thoroughly revised and substantially enhanced, the second edition of Carl Bacon's work is indispensable for serious investment performance professionals."
Philip Lawton, CFA, CIPM Head, CIPM Program, CFA Institute

"He's a standout, a true expert in the field. In an industry rife with interpretive necessity, Carl stays the course with useful instruction, experienced guidance, and well organized references to the mechanics of performance measurement and attribution. It's a practical resource that will continue to garner the audience it deserves."
Tobin S. Cochran, Partner/President, Ashland Partners & Company LLP

"Carl Bacon is one of the most knowledgeable professionals I know on the subject of performance measurement. He has been a pioneer, leader, and teacher at the forefront of developments in global investment performance measurement and attribution, risk measurement, and industry standards. I am very pleased he has significantly updated this timely and useful book with new emphasis on fixed income attribution, hedge funds, and derivatives. It is a great reference for all investment management professionals."
James Hollis, Managing Director, Cutter Associates

"Carl has updated his book with further developments and to reflect his extensive travels and discussion about Performance Measurement. This second edition is now the most comprehensive guide to calculation and reporting techniques around the world and should be a feature on the desk of anyone working in, or using, Performance Measurement."
Brian Chapman, Director and Leader of GIPS related services, KPMG

"Carl's first edition is a renowned reference manual. The second edition not only enhances each and every chapter but also addresses many of the latest topics in our industry. Carl's books always deliver unassailable help in an exceptionally effective manner; a compelling instructional handbook."
Mark Goodey, Head of Performance, Morley Fund Management (AVIVA Investors)

Edition details

• Publisher: John Wiley & Sons Inc
• Publication date: 2008
• Language: English
• ISBN 10: 0470059281
• ISBN 13: 9780470059289
• Binding: Hardcover
• Edition number: 2
• Number of pages: 384