Practical Portfolio Performance Measurement and Attribution - Hardcover

Bacon, Carl R.

Hardcover

ISBN 10: 1119831946 ISBN 13: 9781119831945

Publisher: Wiley, 2023

Synopsis

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.

About this title

About the Author

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.

From the Back Cover

A PRACTICAL GUIDE TO THE APPLICATION OF PERFORMANCE MEASUREMENT AND ATTRIBUTION ANALYSIS

In the thoroughly updated Third Edition of Practical Portfolio Performance Measurement and Attribution, risk and performance measurement expert Carl R. Bacon delivers a roadmap to the real-world application of performance measurement and attribution techniques. Full of worked examples, the book walks readers through the determination of a portfolio’s return on assets, the causes of its performance, and ways to improve performance.

You’ll explore a variety of detailed return calculation methods and learn to avoid common calculation issues and mistakes. You’ll also discover multiple attribution methodologies, risk measures, and consider the new 2020 Global Investment Performance Standards. Performance information and manager selection criteria are also presented.

With a heavy focus on applicable and straightforward guidance, Practical Portfolio Performance Measurement and Attribution is a must-read how-to guide for asset managers, owners, and consultants, as well as compliance professionals, portfolio managers, verifiers, and pension fund trustees seeking a one-stop reference on performance measurement and attribution.

From the Inside Flap

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.

Edition details

• Publisher: Wiley
• Publication date: 2023
• Language: English
• ISBN 10: 1119831946
• ISBN 13: 9781119831945
• Binding: Hardcover
• Edition number: 3
• Number of pages: 560