Practical Portfolio Performance Measurement and Attribution (Wiley Finance)

Practical Portfolio Performance Measurement and Attribution (Wiley Finance)

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  • 製本 Hardcover:ハードカバー版/ページ数 225 p.
  • 言語 ENG,ENG
  • 商品コード 9780470856796
  • DDC分類 332.6

Table of Contents

About the Author                                   xii
Acknowledgements xiii
1 Introduction 1 (4)
Why measure portfolio performance? 1 (1)
The purpose of this book 2 (1)
Reference 3 (2)
2 The Mathematics of Portfolio Return 5 (34)
Simple return 5 (2)
Money-weighted returns 7 (6)
Internal rate of return (IRR) 7 (1)
Simple internal rate of return 7 (1)
Modified internal rate of return 8 (1)
Simple Dietz 9 (2)
ICAA method 11 (1)
Modified Dietz 12 (1)
Time-weighted returns 13 (3)
True time-weighted 13 (2)
Unit price method 15 (1)
Time-weighted versus money-weighted rates of 16 (2)
return
Approximations to the time-weighted return 18 (3)
Index substitution 18 (1)
Regression method (or β method) 19 (1)
Analyst's test 20 (1)
Hybrid methodologies 21 (1)
Linked modified Dietz 21 (1)
BAI method 22 (1)
Which method to use? 22 (1)
Self-selection 23 (2)
Annualized returns 25 (3)
Continuously compounded returns 28 (1)
Gross- and net-of-fee calculations 29 (3)
Estimating gross- and net-of-fee returns 30 (1)
Performance fees 30 (2)
Portfolio component returns 32 (3)
Component weight 33 (1)
Carve-outs 34 (1)
Multi-period component returns 34 (1)
Base currency and local returns 35 (1)
References 36 (3)
3 Benchmarks 39 (14)
Benchmarks 39 (6)
Benchmark attributes 39 (1)
Commercial indexes 40 (1)
Calculation methodologies 40 (1)
Index turnover 40 (1)
Hedged indexes 41 (1)
Customized (or composite) indexes 41 (1)
Fixed weight and dynamized benchmarks 42 (2)
Capped indexes 44 (1)
Blended (or spliced) indexes 44 (1)
Peer groups and universes 45 (1)
Percentile rank 45 (1)
Notional funds 46 (1)
Normal portfolio 47 (1)
Growth and value 47 (1)
Excess return 47 (6)
Arithmetic excess return 48 (1)
Geometric excess return 48 (5)
4 Risk 53 (34)
Definition of risk 53 (1)
Risk management versus risk control 54 (1)
Risk aversion 54 (1)
Risk measures 54 (7)
Ex post and ex ante risk 54 (1)
Variability 54 (1)
Mean absolute deviation 54 (1)
Variance 55 (1)
Standard deviation 55 (1)
Sharpe ratio (reward to variability) 56 (2)
Risk-adjusted return: Mイ 58 (1)
Mイ excess return 59 (1)
Differential return 60 (1)
Regression analysis 61 (9)
Regression equation 62 (1)
Regression alpha ((αR) 62 (1)
Regression beta (βR) 62 (1)
Regression epsilon (epsilonR) 62 (1)
Capital Asset Pricing Model (CAPM) 62 (1)
Beta (β) (systematic risk or 62 (1)
volatility)
Jensen's alpha (or Jensen's measure or 63 (1)
Jensen's differential return)
Bull beta (β+) 63 (1)
Bear beta (β-) 63 (1)
Beta timing ratio 63 (1)
Covariance 64 (1)
Correlation (ρ) 64 (2)
Rイ (or coefficient of determination) 66 (1)
Systematic risk 66 (1)
Specific or residual risk 66 (1)
Treynor ratio (reward to volatility) 66 (2)
Modified Treynor ratio 68 (1)
Mイ for beta 68 (1)
Appraisal ratio (Sharpe ratio adjusted for 68 (1)
systematic risk)
Modified Jensen 69 (1)
Fama decomposition 69 (1)
Selectivity 69 (1)
Diversification 69 (1)
Net selectivity 70 (1)
Relative risk 70 (4)
Tracking error 71 (1)
Information ratio (or modified Sharpe ratio) 71 (3)
Return distributions 74 (1)
Normal distribution 74 (1)
Skewness 74 (1)
Kurtosis 74 (1)
d ratio 75 (1)
Downside risk 75 (5)
Sortino ratio 76 (1)
Mイ for Sortino 76 (1)
Upside potential ratio 77 (1)
Omega excess return 77 (1)
Volatility skewness 77 (1)
Value at Risk (VaR) 78 (1)
VaR ratio 78 (2)
Hurst index 80 (1)
Fixed income risk 80 (2)
Duration 80 (1)
Macaulay duration 81 (1)
Modified duration 81 (1)
Effective duration 81 (1)
Convexity 82 (1)
Modified convexity 82 (1)
Effective convexity 82 (1)
Duration beta 82 (1)
Which risk measures to use? 82 (1)
Risk efficiency ratio 83 (1)
Risk control structure 83 (2)
References 85 (2)
5 Performance Attribution 87 (76)
Arithmetic attribution 88 (6)
Brinson, Hood and Beebower 88 (1)
Asset allocation 89 (1)
Security (or stock) selection 89 (1)
Interaction 90 (4)
Brinson and Fachler 94 (2)
Interaction 96 (2)
Geometric excess return attribution 98 (3)
Asset allocation 99 (1)
Stock selection 100 (1)
Sector weights 101 (4)
Buy-and-hold (or holding-based) attribution 104 (1)
Security-level attribution 105 (1)
Multi-period attribution 105 (1)
Smoothing algorithms 105 (16)
Carino 105 (3)
Menchero 108 (4)
GRAP method 112 (1)
Frongello 113 (2)
Davies and Laker 115 (4)
Multi-period geometric attribution 119 (2)
Risk-adjusted attribution 121 (4)
Selectivity 122 (3)
Multi-currency attribution 125 (10)
Ankrim and Hensel 125 (6)
Karnosky and Singer 131 (4)
Geometric multi-currency attribution 135 (15)
Naive currency attribution 135 (4)
Compounding effects 139 (2)
Interest-rate differentials 141 (1)
Currency allocation 142 (2)
Cost of hedging 144 (2)
Currency timing (or currency selection) 146 (3)
Summarizing 149 (1)
Other currency issues 149 (1)
Fixed income attribution 150 (8)
Weighted duration attribution 151 (7)
Attribution standards 158 (2)
Evolution of performance attribution 159 (1)
methodologies
References 160 (3)
6 Performance Presentation Standards 163 (12)
Why do we need performance presentation 163 (1)
standards?
Advantages for asset managers 164 (1)
The standards 165 (2)
Verification 167 (1)
Investment Performance Council 167 (5)
Country Standards Subcommittee (CSSC) 168 (1)
Verification Subcommittee 169 (1)
Interpretation Subcommittee 169 (1)
Guidance statements 170 (1)
Definition of firm 170 (1)
Carve-outs 170 (1)
Portability 171 (1)
Supplemental information 172 (1)
Achieving compliance 172 (1)
Maintaining compliance 173 (1)
Reference 174 (1)
Appendix A Simple Attribution 175 (3)
Appendix B Multi-currency Attribution 178 (8)
Methodology
Appendix C EIPC Guidance for Users of 186 (5)
Attribution Analysis
Appendix D European Investment Performance 191 (13)
Committee - Guidance on Performance Attribution
Presentation
Appendix E The Global Investment Performance 204 (11)
Standards
Bibliography 215 (4)
Index 219