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Written in a clear and accessible style, with each concept developed through fully worked examples, this book is a valuable guide that provides you with critical insights into many areas of this important step in the investment management cycle.
This straightforward and well-rounded resource provides a step-by-step guide to the processes used by practitioners to analyze the performance of an investment portfolio.
Topics include:
- Calculation of the returns earned by portfolios and portfolio managers
- Measurement of the risks taken to earn these returns
- Measurement of the risk and return efficiency of a portfolio
- Attribution of value added over the benchmark to management decisions
- Presentation and interpretation of returns calculated using industry standards
Filled with in-depth spreadsheet examples, Investment Performance Measurement gives you all the information you'll need to understand and implement the techniques used to measure the performance of an investment.
Written in a clear and accessible style, with each concept developed through fully worked examples, this book is a valuable guide that provides you with critical insights into many areas of this important step in the investment management cycle.
This straightforward and well-rounded resource provides a step-by-step guide to the processes used by practitioners to analyze the performance of an investment portfolio.
Topics include:
- Calculation of the returns earned by portfolios and portfolio managers
- Measurement of the risks taken to earn these returns
- Measurement of the risk and return efficiency of a portfolio
- Attribution of value added over the benchmark to management decisions
- Presentation and interpretation of returns calculated using industry standards
Filled with in-depth spreadsheet examples, Investment Performance Measurement gives you all the information you'll need to understand and implement the techniques used to measure the performance of an investment.
Acknowledgments.
CHAPTER 1: Investment Performance Measurement.
PART ONE: RETURN MEASUREMENT.
CHAPTER 2: Single Period Return.
CHAPTER 3: Money-Weighted Return.
CHAPTER 4: Time-Weighted Return.
CHAPTER 5: Multiperiod Return.
CHAPTER 6: Adjusting Returns for Impact of Fees, Taxes, and Currency.
CHAPTER 7: Measuring Relative Return.
PART TWO: RISK MEASUREMENT.
CHAPTER 8: Risk.
CHAPTER 9: Absolute Risk.
CHAPTER 10: Downside Risk.
CHAPTER 11: Relative Risk.
PART THREE: MEASURING RISK-ADJUSTED PERFORMANCE.
CHAPTER 12: Absolute Risk-Adjusted Return.
CHAPTER 13: Downside and Relative Risk-Adjusted Return.
CHAPTER 14: Assessing Skill.
PART FOUR: PERFORMANCE ATTRIBUTION.
CHAPTER 15: Security and Segment Returns.
CHAPTER 16: Effective Exposure Basis Returns.
CHAPTER 17: Contribution Analysis.
CHAPTER 18: Attributing Value Added to Management Decisions.
CHAPTER 19: Strategy-Specific Return Decomposition.
PART FIVE: PERFORMANCE PRESENTATION.
CHAPTER 20: AIMR- and GIPS-Compliant Performance Presentations.
Appendix: The AIMR Performance Presentation Standards.
Index.
| Erscheinungsjahr: | 2003 |
|---|---|
| Fachbereich: | Betriebswirtschaft |
| Genre: | Importe, Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Buch |
| Inhalt: | Einband - fest (Hardcover) |
| ISBN-13: | 9780471268499 |
| ISBN-10: | 0471268496 |
| Sprache: | Englisch |
| Einband: | Gebunden |
| Autor: | Feibel, Bruce J |
| Hersteller: | Wiley |
| Verantwortliche Person für die EU: | Libri GmbH, Europaallee 1, D-36244 Bad Hersfeld, gpsr@libri.de |
| Maße: | 240 x 161 x 24 mm |
| Von/Mit: | Bruce J Feibel |
| Erscheinungsdatum: | 04.02.2003 |
| Gewicht: | 0,718 kg |
Acknowledgments.
CHAPTER 1: Investment Performance Measurement.
PART ONE: RETURN MEASUREMENT.
CHAPTER 2: Single Period Return.
CHAPTER 3: Money-Weighted Return.
CHAPTER 4: Time-Weighted Return.
CHAPTER 5: Multiperiod Return.
CHAPTER 6: Adjusting Returns for Impact of Fees, Taxes, and Currency.
CHAPTER 7: Measuring Relative Return.
PART TWO: RISK MEASUREMENT.
CHAPTER 8: Risk.
CHAPTER 9: Absolute Risk.
CHAPTER 10: Downside Risk.
CHAPTER 11: Relative Risk.
PART THREE: MEASURING RISK-ADJUSTED PERFORMANCE.
CHAPTER 12: Absolute Risk-Adjusted Return.
CHAPTER 13: Downside and Relative Risk-Adjusted Return.
CHAPTER 14: Assessing Skill.
PART FOUR: PERFORMANCE ATTRIBUTION.
CHAPTER 15: Security and Segment Returns.
CHAPTER 16: Effective Exposure Basis Returns.
CHAPTER 17: Contribution Analysis.
CHAPTER 18: Attributing Value Added to Management Decisions.
CHAPTER 19: Strategy-Specific Return Decomposition.
PART FIVE: PERFORMANCE PRESENTATION.
CHAPTER 20: AIMR- and GIPS-Compliant Performance Presentations.
Appendix: The AIMR Performance Presentation Standards.
Index.
| Erscheinungsjahr: | 2003 |
|---|---|
| Fachbereich: | Betriebswirtschaft |
| Genre: | Importe, Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Buch |
| Inhalt: | Einband - fest (Hardcover) |
| ISBN-13: | 9780471268499 |
| ISBN-10: | 0471268496 |
| Sprache: | Englisch |
| Einband: | Gebunden |
| Autor: | Feibel, Bruce J |
| Hersteller: | Wiley |
| Verantwortliche Person für die EU: | Libri GmbH, Europaallee 1, D-36244 Bad Hersfeld, gpsr@libri.de |
| Maße: | 240 x 161 x 24 mm |
| Von/Mit: | Bruce J Feibel |
| Erscheinungsdatum: | 04.02.2003 |
| Gewicht: | 0,718 kg |
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