Practical Portfolio Performance Measurement and Attribution

This is a wonderful book for anyone who works with portfolio management—and especially those who compile or analyze performance results. It is a treasure trove of all the important formulas for calculating portfolio returns, benchmark returns, portfolio risk or performance attribution. Appendices provide the actual text for various standards for reporting performance. These include the CFA Institute's Global Investment Performance Standards, which are widely used around the world.

Are you familiar with Haug (1997)—that definitive directory for closed form financial engineering formulas? Well this is the Haug of performance analysis. The coverage of formulas is impressive, covering those that are little known as well as those that are widely used. There are nice historical explanations of how formulas first originated. References to the literature are cited extensively.

Contents

1. Introduction.

2. The Mathematics of Portfolio Return.

3. Benchmarks.

4. Risk.

5. Performance Attribution.

6. Performance Presentation Standards.

Appendix A - Simple Attribution.

Appendix B - Multi-Currency Attribution Methodology.

Appendix C - EIPC Guidance for Users of Attribution Analysis.

Appendix D - European Investment Performance Committee - Guidance on Performance Attribution Presentation.

Appendix E - The Global Investment Performance Standards.

Do you want to handle intra-period cash flows? How about calculate performance in a foreign base currency? Maybe you need the correct formula for tracking error. It is all here and so much more. The book can be cook-bookish. If you want to understand theory, see Amenc and Le Sourd (2003) instead. As a reference or for interesting browsing, this book is wonderul.

 

 

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