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Risk Adjusted Portfolio Performance
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Book Synopsis Practical Risk-Adjusted Performance Measurement by : Carl R. Bacon
Download or read book Practical Risk-Adjusted Performance Measurement written by Carl R. Bacon and published by John Wiley & Sons. This book was released on 2021-10-22 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: Explore different measures of ex-post risk-adjusted performance measurement and learn to choose the correct one In the newly revised Second Edition of Practical Risk-Adjusted Performance Measurement, accomplished risk and investment expert Carl R. Bacon delivers an insightful, accessible, and real-world guide to ex-post risk measurement. The author bridges the gap between theory and practice, showing you how to apply the former to the latter without introducing unnecessary mathematical complexity. The book describes the fundamentals of risk in the asset management context and the descriptive statistics used to describe it. It builds on that foundation with detailed examinations of concepts like regression, drawdown, and partial moments, before moving on to topics like fixed income risk and Prospect Theory. With helpful additions that include recently developed measures of risk, supplementary explanatory sections, and six brand-new chapters, this book also offers: A practical classification of all ex-post risk measures and how they connect to one another An explanation of how risk-adjusted performance measures impact performance fees A discussion of risk measure dashboard designs Instructions on how appraisal measures should be used for manager selection Perfect for portfolio managers, asset owners, risk controllers, and investment performance analysts, Practical Risk-Adjusted Performance Measurement is an indispensable resource for anyone looking for a hands-on exploration of the buy-side, asset management perspective.
Book Synopsis Portfolio Performance Meaurement and Benchmarking: Fixed-Income Risk by : Jon A. Christopherson
Download or read book Portfolio Performance Meaurement and Benchmarking: Fixed-Income Risk written by Jon A. Christopherson and published by McGraw Hill Professional. This book was released on 2009-05-15 with total page 16 pages. 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.
Book Synopsis Risk-adjusted measures of security and portfolio performance by : William F. Sharpe
Download or read book Risk-adjusted measures of security and portfolio performance written by William F. Sharpe and published by . This book was released on 1971 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Risk-adjusted Portfolio Performance by : Smith, Barney and Company
Download or read book Risk-adjusted Portfolio Performance written by Smith, Barney and Company and published by . This book was released on 1971 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 and published by McGraw Hill Professional. This book was released on 2009-05-15 with total page 14 pages. 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.
Book Synopsis Asset Pricing and Portfolio Performance by : Robert A. Korajczyk
Download or read book Asset Pricing and Portfolio Performance written by Robert A. Korajczyk and published by . This book was released on 1999 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive reference work presenting an original framework for evaluating observed differences in returns across assets.
Book Synopsis Investment Analysis and Portfolio Management by : Frank K. Reilly
Download or read book Investment Analysis and Portfolio Management written by Frank K. Reilly and published by . This book was released on 2006 with total page 1174 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by a widely respected author team, this investments text takes an empirical approach to explaining current, real-world practice. Providing the most comprehensive coverage available, the text emphasizes investment alternatives and teaches students how to analyze these choices and manage their portfolios.
Book Synopsis The Complete Guide to Portfolio Performance by : Georges Hubner
Download or read book The Complete Guide to Portfolio Performance written by Georges Hubner and published by John Wiley & Sons. This book was released on 2024-06-04 with total page 1095 pages. Available in PDF, EPUB and Kindle. Book excerpt: An intuitive and effective desk reference for performance measurement in asset and wealth management In The Complete Guide to Portfolio Performance: Appraise, Analyse, Act, a team of finance professors with extended practical experience deliver a hands-on desk reference for asset and wealth managers suitable for everyday use. Intuitively organized and full of concrete examples of the real-world implementation of the concepts discussed within, the book provides a comprehensive coverage of all important portfolio performance matters across 18 chapters of actionable and clearly described content. The authors have provided relevant cross-referencing where appropriate, “Key Takeaways and Equations” sections at the end of each chapter, and pointers to additional resources for anyone interested in pursuing further research. You'll also find: Discussions of more than a hundred classical and modern performance measures organized logically and with a focus on their applications Strategies for selecting appropriate performance measures based on your situation as a manager or investor Explanations of analytical techniques (statistical approaches, attribution, fund ratings...) enabling a comprehensive use of performance-related information Applications of portfolio performance criteria in concrete investment decision-making processes Highly actionable and logically organized material that's easy to find at a moment's notice A full set of pedagogical powerpoint slides and excel worksheets with all data and formulas Perfect for investors, portfolio managers, advisors, analysts, and regulators, The Complete Guide to Portfolio Performance is also a must-read reference for students and practitioners of asset and wealth management, as well as those pursuing certification such as CFA, CIPM, CIIA, and CAIA.
Book Synopsis Portfolio Performance Measurement and Benchmarking, Chapter 7 - Some Foundations by : Jon A. Christopherson
Download or read book Portfolio Performance Measurement and Benchmarking, Chapter 7 - Some Foundations written by Jon A. Christopherson and published by McGraw Hill Professional. This book was released on 2009-05-15 with total page 14 pages. 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.
Book Synopsis Risk-adjusted Portfolio Performance of Chartered and Nonchartered Financial Analysts by : Ronald Howard Kendrick
Download or read book Risk-adjusted Portfolio Performance of Chartered and Nonchartered Financial Analysts written by Ronald Howard Kendrick and published by . This book was released on 1975 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 and published by John Wiley & Sons. This book was released on 2011-02-23 with total page 488 pages. 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.
Book Synopsis Portfolio Theory and Performance Analysis by : Noel Amenc
Download or read book Portfolio Theory and Performance Analysis written by Noel Amenc and published by John Wiley & Sons. This book was released on 2005-01-21 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: For many years asset management was considered to be a marginal activity, but today, it is central to the development of financial industry throughout the world. Asset management's transition from an "art and craft" to an industry has inevitably called integrated business models into question, favouring specialisation strategies based on cost optimisation and learning curve objectives. This book connects each of these major categories of techniques and practices to the unifying and seminal conceptual developments of modern portfolio theory. In these bear market times, performance evaluation of portfolio managers is of central focus. This book will be one of very few on the market and is by a respected member of the profession. Allows the professionals, whether managers or investors, to take a step back and clearly separate true innovations from mere improvements to well-known, existing techniques Puts into context the importance of innovations with regard to the fundamental portfolio management questions, which are the evolution of the investment management process, risk analysis and performance measurement Takes the explicit or implicit assumptions contained in the promoted tools into account and, by so doing, evaluate the inherent interpretative or practical limits
Book Synopsis Analyzing Financial Data and Implementing Financial Models Using R by : Clifford S. Ang
Download or read book Analyzing Financial Data and Implementing Financial Models Using R written by Clifford S. Ang and published by Springer Nature. This book was released on 2021-06-23 with total page 465 pages. Available in PDF, EPUB and Kindle. Book excerpt: This advanced undergraduate/graduate textbook teaches students in finance and economics how to use R to analyse financial data and implement financial models. It demonstrates how to take publically available data and manipulate, implement models and generate outputs typical for particular analyses. A wide spectrum of timely and practical issues in financial modelling are covered including return and risk measurement, portfolio management, option pricing and fixed income analysis. This new edition updates and expands upon the existing material providing updated examples and new chapters on equities, simulation and trading strategies, including machine learnings techniques. Select data sets are available online.
Book Synopsis The 101 Ways to Measure Portfolio Performance by : Philippe Cogneau
Download or read book The 101 Ways to Measure Portfolio Performance written by Philippe Cogneau and published by . This book was released on 2012 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper performs a census of the 101 performance measures for portfolios that have been proposed so far in the scientific literature. We discuss their main strengths and weaknesses and provide a classification based on their objectives, properties and degree of generalization. The measures are categorized based on the general way they are computed: asset selection vs. market timing, standardized vs. individualized, absolute vs. relative and excess return vs. gain measure. We show that several categories have been exhausted while some others feature very heterogeneous ways to assess performance within the same sets of objectives.Note. The definitive version of this working paper was published by the quot;Journal of Performance Measurementquot; in two parts:- ldquo;The (more than) 100 Ways to Measure Portfolio Performance - Part 1: Standardized Risk-Adjusted Measuresrdquo;, Journal of Performance Measurement, Vol. 13, Ndeg; 4, Summer 2009, pp. 56-71.- ldquo;The (more than) 100 Ways to Measure Portfolio Performance - Part 2: Special Measures and Comparisonrdquo;, Journal of Performance Measurement, Vol. 14, Ndeg; 1, Fall 2009, pp. 56-69.
Book Synopsis Performance Attribution: History and Progress by : Carl R. Bacon
Download or read book Performance Attribution: History and Progress written by Carl R. Bacon and published by CFA Institute Research Foundation. This book was released on 2019-12-23 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of performance attribution is to explain portfolio performance relative to a benchmark, identify the sources of excess return, and relate those sources to active decisions by the portfolio manager. This review charts the development of attribution from its beginning with Fama decomposition in the 1970s, through its foundations in the 1980s, into its issues of multiperiod and multicurrency attribution in the 1990s, and ending on its more detailed models for fixed-income and risk-adjusted attribution in recent years. Types of attribution (including returns based, holdings based, and transaction based) are also discussed as is money-weighted attribution and developments associated with notional funds.
Book Synopsis Strategic and Tactical Asset Allocation by : Henrik Lumholdt
Download or read book Strategic and Tactical Asset Allocation written by Henrik Lumholdt and published by Springer. This book was released on 2018-07-21 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers each step in the asset allocation process, addressing as many of the relevant questions as possible along the way. How can we formulate expectations about long-term returns? How relevant are valuations? What are the challenges to optimizing the portfolio? Can factor investing add value and, if so, how can it be implemented? Which are the key performance drivers for each asset class, and what determines how they are correlated? How can we apply insights about the business cycle to tactical asset allocation? The book is aimed at finance professionals and others looking for a coherent framework for decision-making in asset allocation, both at the strategic and tactical level. It stresses analysis rather than pre-conceived ideas about investments, and it draws on both empirical research and practical experience to give the reader as strong a background as possible.
Book Synopsis Portfolio Performance Measurement and Benchmarking, Chapter 16 - Factor Model (Barra) Performance Attribution by : Jon A. Christopherson
Download or read book Portfolio Performance Measurement and Benchmarking, Chapter 16 - Factor Model (Barra) Performance Attribution written by Jon A. Christopherson and published by McGraw Hill Professional. This book was released on 2009-05-15 with total page 18 pages. 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.
