Share

Portfolio Performance Evaluation

2008 Financial risk management
Download Portfolio Performance Evaluation PDF Online Free

Author :
Release : 2008
Genre : Financial risk management
Kind : eBook
Book Rating : 825/5 ( reviews)

GET EBOOK


Book Synopsis Portfolio Performance Evaluation by : George O. Aragon

Download or read book Portfolio Performance Evaluation written by George O. Aragon. This book was released on 2008. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a review of the methods for measuring portfolio performance and the evidence on the performance of professionally managed investment portfolios. Traditional performance measures, strongly influenced by the Capital Asset Pricing Model of Sharpe (1964), were developed prior to 1990. We discuss some of the properties and important problems associated with these measures. We then review the more recent Conditional Performance Evaluation techniques, designed to allow for expected returns and risks that may vary over time, and thus addressing one major shortcoming of the traditional measures. We also discuss weight-based performance measures and the stochastic discount factor approach. We review the evidence that these newer measures have produced on selectivity and market timing ability for professional managed investment funds. The evidence includes equity style mutual funds, pension funds, asset allocation style funds, fixed income funds and hedge funds.

Portfolio Performance Measurement and Benchmarking, Chapter 12 - Conditional Performance Evaluation

2009-05-15 Business & Economics
Download Portfolio Performance Measurement and Benchmarking, Chapter 12 - Conditional Performance Evaluation PDF Online Free

Author :
Release : 2009-05-15
Genre : Business & Economics
Kind : eBook
Book Rating : 183/5 ( reviews)

GET EBOOK


Book Synopsis Portfolio Performance Measurement and Benchmarking, Chapter 12 - Conditional Performance Evaluation by : Jon A. Christopherson

Download or read book Portfolio Performance Measurement and Benchmarking, Chapter 12 - Conditional Performance Evaluation written by Jon A. Christopherson. This book was released on 2009-05-15. Available in PDF, EPUB and Kindle. Book excerpt: Here is a chapter from Portfolio Performance Measurement and Benchmarking, which will help you create a system you can use to accurately measure your performance. The authors highlight common mechanical problems involved in building benchmarks and clearly illustrate the resulting fallouts. The failure to choose the right investing performance benchmarks often leads to bad decisions or inaction and, inevitably, lost profits. In this book you will discover a foundation for benchmark construction and discuss methods for all different asset classes and investment styles.

Performance Evaluation and Attribution of Security Portfolios

2012-12-31 Business & Economics
Download Performance Evaluation and Attribution of Security Portfolios PDF Online Free

Author :
Release : 2012-12-31
Genre : Business & Economics
Kind : eBook
Book Rating : 525/5 ( reviews)

GET EBOOK


Book Synopsis Performance Evaluation and Attribution of Security Portfolios by : Bernd R. Fischer

Download or read book Performance Evaluation and Attribution of Security Portfolios written by Bernd R. Fischer. This book was released on 2012-12-31. Available in PDF, EPUB and Kindle. Book excerpt: Just how successful is that investment? Measuring portfolio performance requires evaluation (measuring portfolio results against benchmarks) and attribution (determining individual results of the portfolio's parts), In this book, a professor and an asset manager show readers how to use theories, applications, and real data to understand these tools. Unlike others, Fischer and Wermers teach readers how to pick the theories and applications that fit their specific needs. With material inspired by the recent financial crisis, Fischer and Wermers bring new clarity to defining investment success. Gives readers the theories and the empirical tools to handle their own data Features practice problems formerly from the CFA Program curriculum.

Portfolio Performance Measurement and Benchmarking

2009-08-05 Business & Economics
Download Portfolio Performance Measurement and Benchmarking PDF Online Free

Author :
Release : 2009-08-05
Genre : Business & Economics
Kind : eBook
Book Rating : 662/5 ( reviews)

GET EBOOK


Book Synopsis Portfolio Performance Measurement and Benchmarking by : Jon A. Christopherson

Download or read book Portfolio Performance Measurement and Benchmarking written by Jon A. Christopherson. This book was released on 2009-08-05. Available in PDF, EPUB and Kindle. Book excerpt: In order to make sound investment choices, investors must know the projected return on investment in relation to the risk of not being paid. Benchmarks are excellent evaluators, but the failure to choose the right investing performance benchmark often leads to bad decisions or inaction, which inevitably results in lost profits. The first book of its kind, Portfolio Performance Measurement and Benchmarking is a complete guide to benchmarks and performace evaluation using benchmarks. In one inclusive volume, readers get foundational coverage on benchmark construction, as well as expert insight into specific benchmarks for asset classes and investment styles. Starting with the basics—such as return calculations and methods of dealing with cash flows—this thorough book covers a wide variety of performance measurement methodologies and evaluation techniques before moving into more technical material that deconstructs both the creation of indexes and the components of a desirable benchmark. Portfolio Performance Measurement and Benchmarking provides detailed coverage of benchmarks for: U.S. equities Global and international equities Fixed income Real estate The team of renowned authors offers illuminating opinions on the philosophy and development of equity indexes, while highlighting numerous mechanical problems inherent in building benchmarks and the implications of each one. Before you make your next investment, be certain your return will be worth the risk with Portfolio Performance Measurement and Benchmarking.

Practical Portfolio Performance Measurement and Attribution

2011-02-23 Business & Economics
Download Practical Portfolio Performance Measurement and Attribution PDF Online Free

Author :
Release : 2011-02-23
Genre : Business & Economics
Kind : eBook
Book Rating : 477/5 ( reviews)

GET EBOOK


Book Synopsis Practical Portfolio Performance Measurement and Attribution by : Carl R. Bacon

Download or read book Practical Portfolio Performance Measurement and Attribution written by Carl R. Bacon. This book was released on 2011-02-23. Available in PDF, EPUB and Kindle. Book excerpt: 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. 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. 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.

You may also like...