Practical Portfolio Performance Measurement and Attribution:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Newark
John Wiley & Sons, Incorporated
2023
|
| Ausgabe: | 3rd ed |
| Online-Zugang: | HWR01 |
| Beschreibung: | Description based on publisher supplied metadata and other sources |
| Beschreibung: | 1 Online-Ressource (561 Seiten) |
| ISBN: | 9781119831952 |
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| 245 | 1 | 0 | |a Practical Portfolio Performance Measurement and Attribution |
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| 264 | 4 | |c ©2023 | |
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| 505 | 8 | |a Cover -- Title Page -- Copyright -- Contents -- Acknowledgements -- 1 Introduction -- Why Measure Portfolio Performance? -- The Performance Measurement Process -- The Purpose of This Book -- The Role of Performance Analysts -- Book Structure -- 2 The Asset Management Industry -- Asset Classes -- Public Equities -- Bonds (or Fixed Income) -- Cash (and near cash) -- Private Assets -- Real estate -- Private equity -- Private debt -- Infrastructure -- Natural resources -- Commodities -- Derivatives -- Futures -- Forwards -- Swaps -- Options -- Option price sensitivity (the Greeks) -- Warrants -- Convertible bonds -- Contracts for difference (CFDs) -- Overlay strategies -- Currency -- Hedge Funds -- Asset Allocation -- Strategic asset allocation -- Tactical asset allocation -- 3 The Mathematics of Portfolio Return -- Simple Return -- Continuously Compounded (or Logarithmic) Returns -- Money‐weighted Returns (MWRs) -- Internal rate of return (IRR) -- Ex‐ante internal rate of return -- Simple internal rate of return -- Ex‐post internal rate of return -- Simple Dietz -- ICAA method -- Modified Dietz -- Time‐weighted Returns (TWRs) -- True time‐weighted -- Unit price method -- Unit price method with distributions -- Time‐weighted versus Money‐weighted Rates of Return -- Approximations to the Time‐weighted Return -- Index substitution -- Regression method (or β method) -- Analyst's test -- Hybrid Methodologies -- Linked modified Dietz -- BAI method (or linked IRR) -- Which Method to Use? -- Late trading and market timing -- Self‐selection -- Large Cash Flow -- Self‐selection of methodologies -- Annualised Returns -- Since‐inception internal rate of return (SI‐IRR) -- Modified IRR (MIRR) -- Return hiatus -- Gross‐ and Net‐of‐fee Calculations -- Estimating gross‐ and net‐of‐fee returns -- Initial fees -- Performance fees -- Asymmetric or symmetric | |
| 505 | 8 | |a Crystallisation -- Performance fees in practice -- Equalisation -- Reporting hierarchy -- Overlay Strategies -- Overlay performance return calculations -- Base Currency and Local Returns -- Currency conversions -- Hedged Returns -- Currency overlay returns -- Perfectly hedged returns -- Portfolio Component Returns -- Money‐weighted component returns -- Time‐weighted component returns -- End of day -- Beginning of day -- Intra‐day weighted -- Differentiated -- Actual time -- Rule‐based -- Extremely large cash flows -- Which timing assumption to use for time‐weighted returns? -- Carve‐outs -- Sub‐portfolios -- Cash sectors -- Individual security returns -- Multi‐period component returns -- Abnormal returns -- Short positions -- Contribution to Return -- Composite Returns -- 4 Benchmarks -- Benchmarks -- Benchmark attributes -- Best benchmark practice -- The Role of Benchmarks -- Types of Benchmarks -- Commercial Indexes -- Calculation methodologies -- Aggregate price index (price‐weighted index or Carli type) -- Geometric (or Jevons type) index -- Market capitalisation index -- Laspeyres index -- Paasche index -- Marshall-Edgeworth index -- Fisher index -- Equal‐weighted indexes -- Fundamental indexes -- Optimised indexes (efficient or minimum variance indexes) -- Style‐ and factor‐based indexes -- Fixed income indexes -- Index providers -- Choice of index provider -- Self‐indexing -- Benchmark regulation -- Choice of index -- Currency effects in benchmarks -- Hedged indexes -- Customised Indexes -- Capped indexes -- Peer Groups and Universes -- Percentile rank -- Random Portfolios -- Exchange‐traded Funds (ETFs) -- Target Returns -- Blended Benchmarks (or Balanced Benchmarks) -- Fixed‐weight and dynamised benchmarks -- Spliced Indexes -- Money‐weighted Benchmarks (or Public Market Equivalents) -- Normal Portfolio -- Benchmark Statistics | |
| 505 | 8 | |a Index turnover -- Up‐capture indicator -- Down‐capture indicator -- Up‐number ratio -- Down‐number ratio -- Up‐percentage ratio -- Down‐percentage ratio -- Percentage gain ratio -- Excess Return -- Arithmetic excess return -- Geometric excess return -- 5 Risk -- Definition of Risk -- Risk types -- Risk management versus risk control -- Risk aversion -- Ex‐post and ex‐ante -- Descriptive Statistics -- Mean (or arithmetic mean) -- Mean absolute deviation (or mean deviation) -- Variance -- Bessel's correction (population or sample, n or n - 1) -- Sample variance -- Standard deviation (variability or volatility) -- Annualised risk (or time aggregation) -- The central limit theorem -- Frequency and number of data points -- Normal (or Gaussian) distribution -- Histograms -- Skewness (Fisher's or moment skewness) -- Sample skewness -- Kurtosis (Pearson's kurtosis) -- Excess kurtosis (or Fisher's kurtosis) -- Sample kurtosis -- Bera‐Jarque statistic (or Jarque‐Bera) -- Covariance -- Sample covariance -- Correlation (ρ) -- Sample correlation -- Performance Appraisal -- Sharpe ratio (reward to variability, Sharpe index) -- Roy ratio -- Risk‐free rate -- Alternative Sharpe ratio -- Revised Sharpe ratio -- Adjusted Sharpe ratio -- Skew‐adjusted Sharpe ratio -- Relative Risk -- Tracking error (or tracking risk, relative risk, active risk) -- Information ratio -- Geometric information ratio -- Modified information ratio -- Regression Analysis -- Regression equation -- Regression alpha -- Regression beta -- Regression epsilon -- Capital asset pricing model (CAPM) -- Beta (β) (systematic risk or volatility) -- Jensen's alpha (Jensen's measure or Jensen's differential return or ex‐post alpha) -- Annualised alpha -- Bull beta ( +) -- Bear beta ( −) -- Bear beta (& -- rmbeta -- −) -- Beta timing ratio -- Market timing -- Systematic risk -- Correlation | |
| 505 | 8 | |a R2 (or coefficient of determination) -- Specific (or residual) risk -- Treynor ratio (reward to volatility) -- Appraisal ratio (or Treynor‐Black ratio) -- Factor Models -- Fama decomposition -- Selectivity -- Diversification -- Net selectivity -- Fama‐French three‐factor model -- Three‐factor alpha (or Fama‐French alpha) -- Carhart four‐factor model -- Four‐factor alpha (or Carhart's alpha) -- Multi‐factor models -- Drawdown -- Average drawdown -- Maximum drawdown -- Largest individual drawdown -- Recovery time (or drawdown duration) -- Drawdown deviation -- Ulcer index -- Pain index -- Calmar ratio (or drawdown ratio) -- MAR ratio -- Sterling ratio -- Sterling‐Calmar ratio -- Burke ratio -- Modified Burke ratio -- Martin ratio (or ulcer performance index) -- Pain ratio -- Partial Moments -- Downside risk (or semi‐standard deviation) -- Downside potential -- Pure downside risk -- Half variance (or semi‐variance) -- Upside risk (or upside uncertainty) -- Mean absolute moment -- Omega ratio (Ω) -- Bernardo and Ledoit (or gain-loss) ratio -- d ratio -- Omega-Sharpe ratio -- Sortino ratio -- Reward to half‐variance -- Downside‐risk Sharpe ratio -- Sortino-Satchell ratio -- Upside potential ratio -- Volatility skewness -- Variability skewness -- Farinelli-Tibiletti ratio -- Prospect ratio -- Fixed Income Risk -- Pricing fixed income instruments -- Redemption yield (yield to maturity) -- Weighted average cash flow -- Duration (effective mean term, discounted mean term or volatility) -- Macaulay duration -- Macaulay-Weil duration -- Modified duration -- Portfolio duration -- Effective duration (or option‐adjusted duration) -- Duration to worst -- Convexity -- Modified convexity -- Effective convexity -- Portfolio convexity -- Bond returns -- Duration beta -- Reward to duration -- Miscellaneous Risk Measures -- Hurst index (or Hurst exponent) -- Bias ratio | |
| 505 | 8 | |a Active share -- Value at risk (VaR) -- Risk‐adjusted Return -- M2 -- M2 excess return -- Differential return -- Adjusted M2 -- Skew‐adjusted M2 -- Types of Excess Return (or Alpha) -- A Periodic Table of Risk Measures -- Periodic table design -- Why measure ex‐post risk? -- Which risk measures to use? -- Hedge funds -- Smoothing -- Outliers -- Data mining -- Time period -- 6 Return Attribution -- What Is Attribution? -- Definition -- Attribution as an asset management tool -- Early development -- Types of Return Attribution -- Returns‐based (regression or factor) attribution -- Holdings‐based (or buy/hold) attribution -- Transaction‐based attribution -- Arithmetic Attribution -- Brinson, Hood and Beebower -- Asset allocation -- Security (or stock) selection -- Interaction -- Brinson and Fachler -- Interaction -- Geometric Excess Return Attribution -- Asset allocation -- Stock selection -- Sector Weights -- Frequency of Analysis -- Security‐level attribution -- Transaction costs -- Off‐benchmark (or zero‐weight sector) attribution -- Attribution consistent with the investment decision process -- Market‐neutral attribution -- Attribution for 130/30 funds (or extended short funds) -- Leverage (or gearing) -- Attribution Including Derivatives -- Attribution including equity index futures -- Attribution analysis using options -- Multi‐currency Attribution -- Ankrim and Hensel -- Karnosky and Singer -- Geometric Multi‐currency Attribution -- Naïve currency attribution -- Compounding effects -- Geometric currency allocation -- Currency timing -- Interest Rate Differentials -- Revised currency allocation -- Revised country allocation -- Incorporating forward currency contracts -- Summarising -- Other currency issues -- Fixed Income Attribution -- The yield curve -- Yield curve analysis -- Carry -- Credit (or spread) -- Yield curve decomposition | |
| 505 | 8 | |a Wagner and Tito | |
| 776 | 0 | 8 | |i Erscheint auch als |n Druck-Ausgabe |a Bacon, Carl R. |t Practical Portfolio Performance Measurement and Attribution |d Newark : John Wiley & Sons, Incorporated,c2023 |z 9781119831945 |
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Datensatz im Suchindex
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| author | Bacon, Carl R. |
| author_facet | Bacon, Carl R. |
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| author_sort | Bacon, Carl R. |
| author_variant | c r b cr crb |
| building | Verbundindex |
| bvnumber | BV048831591 |
| collection | ZDB-30-PQE |
| contents | Cover -- Title Page -- Copyright -- Contents -- Acknowledgements -- 1 Introduction -- Why Measure Portfolio Performance? -- The Performance Measurement Process -- The Purpose of This Book -- The Role of Performance Analysts -- Book Structure -- 2 The Asset Management Industry -- Asset Classes -- Public Equities -- Bonds (or Fixed Income) -- Cash (and near cash) -- Private Assets -- Real estate -- Private equity -- Private debt -- Infrastructure -- Natural resources -- Commodities -- Derivatives -- Futures -- Forwards -- Swaps -- Options -- Option price sensitivity (the Greeks) -- Warrants -- Convertible bonds -- Contracts for difference (CFDs) -- Overlay strategies -- Currency -- Hedge Funds -- Asset Allocation -- Strategic asset allocation -- Tactical asset allocation -- 3 The Mathematics of Portfolio Return -- Simple Return -- Continuously Compounded (or Logarithmic) Returns -- Money‐weighted Returns (MWRs) -- Internal rate of return (IRR) -- Ex‐ante internal rate of return -- Simple internal rate of return -- Ex‐post internal rate of return -- Simple Dietz -- ICAA method -- Modified Dietz -- Time‐weighted Returns (TWRs) -- True time‐weighted -- Unit price method -- Unit price method with distributions -- Time‐weighted versus Money‐weighted Rates of Return -- Approximations to the Time‐weighted Return -- Index substitution -- Regression method (or β method) -- Analyst's test -- Hybrid Methodologies -- Linked modified Dietz -- BAI method (or linked IRR) -- Which Method to Use? -- Late trading and market timing -- Self‐selection -- Large Cash Flow -- Self‐selection of methodologies -- Annualised Returns -- Since‐inception internal rate of return (SI‐IRR) -- Modified IRR (MIRR) -- Return hiatus -- Gross‐ and Net‐of‐fee Calculations -- Estimating gross‐ and net‐of‐fee returns -- Initial fees -- Performance fees -- Asymmetric or symmetric Crystallisation -- Performance fees in practice -- Equalisation -- Reporting hierarchy -- Overlay Strategies -- Overlay performance return calculations -- Base Currency and Local Returns -- Currency conversions -- Hedged Returns -- Currency overlay returns -- Perfectly hedged returns -- Portfolio Component Returns -- Money‐weighted component returns -- Time‐weighted component returns -- End of day -- Beginning of day -- Intra‐day weighted -- Differentiated -- Actual time -- Rule‐based -- Extremely large cash flows -- Which timing assumption to use for time‐weighted returns? -- Carve‐outs -- Sub‐portfolios -- Cash sectors -- Individual security returns -- Multi‐period component returns -- Abnormal returns -- Short positions -- Contribution to Return -- Composite Returns -- 4 Benchmarks -- Benchmarks -- Benchmark attributes -- Best benchmark practice -- The Role of Benchmarks -- Types of Benchmarks -- Commercial Indexes -- Calculation methodologies -- Aggregate price index (price‐weighted index or Carli type) -- Geometric (or Jevons type) index -- Market capitalisation index -- Laspeyres index -- Paasche index -- Marshall-Edgeworth index -- Fisher index -- Equal‐weighted indexes -- Fundamental indexes -- Optimised indexes (efficient or minimum variance indexes) -- Style‐ and factor‐based indexes -- Fixed income indexes -- Index providers -- Choice of index provider -- Self‐indexing -- Benchmark regulation -- Choice of index -- Currency effects in benchmarks -- Hedged indexes -- Customised Indexes -- Capped indexes -- Peer Groups and Universes -- Percentile rank -- Random Portfolios -- Exchange‐traded Funds (ETFs) -- Target Returns -- Blended Benchmarks (or Balanced Benchmarks) -- Fixed‐weight and dynamised benchmarks -- Spliced Indexes -- Money‐weighted Benchmarks (or Public Market Equivalents) -- Normal Portfolio -- Benchmark Statistics Index turnover -- Up‐capture indicator -- Down‐capture indicator -- Up‐number ratio -- Down‐number ratio -- Up‐percentage ratio -- Down‐percentage ratio -- Percentage gain ratio -- Excess Return -- Arithmetic excess return -- Geometric excess return -- 5 Risk -- Definition of Risk -- Risk types -- Risk management versus risk control -- Risk aversion -- Ex‐post and ex‐ante -- Descriptive Statistics -- Mean (or arithmetic mean) -- Mean absolute deviation (or mean deviation) -- Variance -- Bessel's correction (population or sample, n or n - 1) -- Sample variance -- Standard deviation (variability or volatility) -- Annualised risk (or time aggregation) -- The central limit theorem -- Frequency and number of data points -- Normal (or Gaussian) distribution -- Histograms -- Skewness (Fisher's or moment skewness) -- Sample skewness -- Kurtosis (Pearson's kurtosis) -- Excess kurtosis (or Fisher's kurtosis) -- Sample kurtosis -- Bera‐Jarque statistic (or Jarque‐Bera) -- Covariance -- Sample covariance -- Correlation (ρ) -- Sample correlation -- Performance Appraisal -- Sharpe ratio (reward to variability, Sharpe index) -- Roy ratio -- Risk‐free rate -- Alternative Sharpe ratio -- Revised Sharpe ratio -- Adjusted Sharpe ratio -- Skew‐adjusted Sharpe ratio -- Relative Risk -- Tracking error (or tracking risk, relative risk, active risk) -- Information ratio -- Geometric information ratio -- Modified information ratio -- Regression Analysis -- Regression equation -- Regression alpha -- Regression beta -- Regression epsilon -- Capital asset pricing model (CAPM) -- Beta (β) (systematic risk or volatility) -- Jensen's alpha (Jensen's measure or Jensen's differential return or ex‐post alpha) -- Annualised alpha -- Bull beta ( +) -- Bear beta ( −) -- Bear beta (& -- rmbeta -- −) -- Beta timing ratio -- Market timing -- Systematic risk -- Correlation R2 (or coefficient of determination) -- Specific (or residual) risk -- Treynor ratio (reward to volatility) -- Appraisal ratio (or Treynor‐Black ratio) -- Factor Models -- Fama decomposition -- Selectivity -- Diversification -- Net selectivity -- Fama‐French three‐factor model -- Three‐factor alpha (or Fama‐French alpha) -- Carhart four‐factor model -- Four‐factor alpha (or Carhart's alpha) -- Multi‐factor models -- Drawdown -- Average drawdown -- Maximum drawdown -- Largest individual drawdown -- Recovery time (or drawdown duration) -- Drawdown deviation -- Ulcer index -- Pain index -- Calmar ratio (or drawdown ratio) -- MAR ratio -- Sterling ratio -- Sterling‐Calmar ratio -- Burke ratio -- Modified Burke ratio -- Martin ratio (or ulcer performance index) -- Pain ratio -- Partial Moments -- Downside risk (or semi‐standard deviation) -- Downside potential -- Pure downside risk -- Half variance (or semi‐variance) -- Upside risk (or upside uncertainty) -- Mean absolute moment -- Omega ratio (Ω) -- Bernardo and Ledoit (or gain-loss) ratio -- d ratio -- Omega-Sharpe ratio -- Sortino ratio -- Reward to half‐variance -- Downside‐risk Sharpe ratio -- Sortino-Satchell ratio -- Upside potential ratio -- Volatility skewness -- Variability skewness -- Farinelli-Tibiletti ratio -- Prospect ratio -- Fixed Income Risk -- Pricing fixed income instruments -- Redemption yield (yield to maturity) -- Weighted average cash flow -- Duration (effective mean term, discounted mean term or volatility) -- Macaulay duration -- Macaulay-Weil duration -- Modified duration -- Portfolio duration -- Effective duration (or option‐adjusted duration) -- Duration to worst -- Convexity -- Modified convexity -- Effective convexity -- Portfolio convexity -- Bond returns -- Duration beta -- Reward to duration -- Miscellaneous Risk Measures -- Hurst index (or Hurst exponent) -- Bias ratio Active share -- Value at risk (VaR) -- Risk‐adjusted Return -- M2 -- M2 excess return -- Differential return -- Adjusted M2 -- Skew‐adjusted M2 -- Types of Excess Return (or Alpha) -- A Periodic Table of Risk Measures -- Periodic table design -- Why measure ex‐post risk? -- Which risk measures to use? -- Hedge funds -- Smoothing -- Outliers -- Data mining -- Time period -- 6 Return Attribution -- What Is Attribution? -- Definition -- Attribution as an asset management tool -- Early development -- Types of Return Attribution -- Returns‐based (regression or factor) attribution -- Holdings‐based (or buy/hold) attribution -- Transaction‐based attribution -- Arithmetic Attribution -- Brinson, Hood and Beebower -- Asset allocation -- Security (or stock) selection -- Interaction -- Brinson and Fachler -- Interaction -- Geometric Excess Return Attribution -- Asset allocation -- Stock selection -- Sector Weights -- Frequency of Analysis -- Security‐level attribution -- Transaction costs -- Off‐benchmark (or zero‐weight sector) attribution -- Attribution consistent with the investment decision process -- Market‐neutral attribution -- Attribution for 130/30 funds (or extended short funds) -- Leverage (or gearing) -- Attribution Including Derivatives -- Attribution including equity index futures -- Attribution analysis using options -- Multi‐currency Attribution -- Ankrim and Hensel -- Karnosky and Singer -- Geometric Multi‐currency Attribution -- Naïve currency attribution -- Compounding effects -- Geometric currency allocation -- Currency timing -- Interest Rate Differentials -- Revised currency allocation -- Revised country allocation -- Incorporating forward currency contracts -- Summarising -- Other currency issues -- Fixed Income Attribution -- The yield curve -- Yield curve analysis -- Carry -- Credit (or spread) -- Yield curve decomposition Wagner and Tito |
| ctrlnum | (ZDB-30-PQE)EBC7184818 (ZDB-30-PAD)EBC7184818 (ZDB-89-EBL)EBL7184818 (OCoLC)1371317326 (DE-599)BVBBV048831591 |
| dewey-full | 332.6 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6 |
| dewey-search | 332.6 |
| dewey-sort | 3332.6 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| edition | 3rd ed |
| format | Electronic eBook |
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Fundamental indexes -- Optimised indexes (efficient or minimum variance indexes) -- Style‐ and factor‐based indexes -- Fixed income indexes -- Index providers -- Choice of index provider -- Self‐indexing -- Benchmark regulation -- Choice of index -- Currency effects in benchmarks -- Hedged indexes -- Customised Indexes -- Capped indexes -- Peer Groups and Universes -- Percentile rank -- Random Portfolios -- Exchange‐traded Funds (ETFs) -- Target Returns -- Blended Benchmarks (or Balanced Benchmarks) -- Fixed‐weight and dynamised benchmarks -- Spliced Indexes -- Money‐weighted Benchmarks (or Public Market Equivalents) -- Normal Portfolio -- Benchmark Statistics</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">Index turnover -- Up‐capture indicator -- Down‐capture indicator -- Up‐number ratio -- Down‐number ratio -- Up‐percentage ratio -- Down‐percentage ratio -- Percentage gain ratio -- Excess Return -- Arithmetic excess return -- Geometric excess return -- 5 Risk -- Definition of Risk -- Risk types -- Risk management versus risk control -- Risk aversion -- Ex‐post and ex‐ante -- Descriptive Statistics -- Mean (or arithmetic mean) -- Mean absolute deviation (or mean deviation) -- Variance -- Bessel's correction (population or sample, n or n - 1) -- Sample variance -- Standard deviation (variability or volatility) -- Annualised risk (or time aggregation) -- The central limit theorem -- Frequency and number of data points -- Normal (or Gaussian) distribution -- Histograms -- Skewness (Fisher's or moment skewness) -- Sample skewness -- Kurtosis (Pearson's kurtosis) -- Excess kurtosis (or Fisher's kurtosis) -- Sample kurtosis -- Bera‐Jarque statistic (or Jarque‐Bera) -- Covariance -- Sample covariance -- Correlation (ρ) -- Sample correlation -- Performance Appraisal -- Sharpe ratio (reward to variability, Sharpe index) -- Roy ratio -- Risk‐free rate -- Alternative Sharpe ratio -- Revised Sharpe ratio -- Adjusted Sharpe ratio -- Skew‐adjusted Sharpe ratio -- Relative Risk -- Tracking error (or tracking risk, relative risk, active risk) -- Information ratio -- Geometric information ratio -- Modified information ratio -- Regression Analysis -- Regression equation -- Regression alpha -- Regression beta -- Regression epsilon -- Capital asset pricing model (CAPM) -- Beta (β) (systematic risk or volatility) -- Jensen's alpha (Jensen's measure or Jensen's differential return or ex‐post alpha) -- Annualised alpha -- Bull beta ( +) -- Bear beta ( −) -- Bear beta (&amp -- rmbeta -- −) -- Beta timing ratio -- Market timing -- Systematic risk -- Correlation</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">R2 (or coefficient of determination) -- Specific (or residual) risk -- Treynor ratio (reward to volatility) -- Appraisal ratio (or Treynor‐Black ratio) -- Factor Models -- Fama decomposition -- Selectivity -- Diversification -- Net selectivity -- Fama‐French three‐factor model -- Three‐factor alpha (or Fama‐French alpha) -- Carhart four‐factor model -- Four‐factor alpha (or Carhart's alpha) -- Multi‐factor models -- Drawdown -- Average drawdown -- Maximum drawdown -- Largest individual drawdown -- Recovery time (or drawdown duration) -- Drawdown deviation -- Ulcer index -- Pain index -- Calmar ratio (or drawdown ratio) -- MAR ratio -- Sterling ratio -- Sterling‐Calmar ratio -- Burke ratio -- Modified Burke ratio -- Martin ratio (or ulcer performance index) -- Pain ratio -- Partial Moments -- Downside risk (or semi‐standard deviation) -- Downside potential -- Pure downside risk -- Half variance (or semi‐variance) -- Upside risk (or upside uncertainty) -- Mean absolute moment -- Omega ratio (Ω) -- Bernardo and Ledoit (or gain-loss) ratio -- d ratio -- Omega-Sharpe ratio -- Sortino ratio -- Reward to half‐variance -- Downside‐risk Sharpe ratio -- Sortino-Satchell ratio -- Upside potential ratio -- Volatility skewness -- Variability skewness -- Farinelli-Tibiletti ratio -- Prospect ratio -- Fixed Income Risk -- Pricing fixed income instruments -- Redemption yield (yield to maturity) -- Weighted average cash flow -- Duration (effective mean term, discounted mean term or volatility) -- Macaulay duration -- Macaulay-Weil duration -- Modified duration -- Portfolio duration -- Effective duration (or option‐adjusted duration) -- Duration to worst -- Convexity -- Modified convexity -- Effective convexity -- Portfolio convexity -- Bond returns -- Duration beta -- Reward to duration -- Miscellaneous Risk Measures -- Hurst index (or Hurst exponent) -- Bias ratio</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">Active share -- Value at risk (VaR) -- Risk‐adjusted Return -- M2 -- M2 excess return -- Differential return -- Adjusted M2 -- Skew‐adjusted M2 -- Types of Excess Return (or Alpha) -- A Periodic Table of Risk Measures -- Periodic table design -- Why measure ex‐post risk? -- Which risk measures to use? -- Hedge funds -- Smoothing -- Outliers -- Data mining -- Time period -- 6 Return Attribution -- What Is Attribution? -- Definition -- Attribution as an asset management tool -- Early development -- Types of Return Attribution -- Returns‐based (regression or factor) attribution -- Holdings‐based (or buy/hold) attribution -- Transaction‐based attribution -- Arithmetic Attribution -- Brinson, Hood and Beebower -- Asset allocation -- Security (or stock) selection -- Interaction -- Brinson and Fachler -- Interaction -- Geometric Excess Return Attribution -- Asset allocation -- Stock selection -- Sector Weights -- Frequency of Analysis -- Security‐level attribution -- Transaction costs -- Off‐benchmark (or zero‐weight sector) attribution -- Attribution consistent with the investment decision process -- Market‐neutral attribution -- Attribution for 130/30 funds (or extended short funds) -- Leverage (or gearing) -- Attribution Including Derivatives -- Attribution including equity index futures -- Attribution analysis using options -- Multi‐currency Attribution -- Ankrim and Hensel -- Karnosky and Singer -- Geometric Multi‐currency Attribution -- Naïve currency attribution -- Compounding effects -- Geometric currency allocation -- Currency timing -- Interest Rate Differentials -- Revised currency allocation -- Revised country allocation -- Incorporating forward currency contracts -- Summarising -- Other currency issues -- Fixed Income Attribution -- The yield curve -- Yield curve analysis -- Carry -- Credit (or spread) -- Yield curve decomposition</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">Wagner and Tito</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Druck-Ausgabe</subfield><subfield code="a">Bacon, Carl R.</subfield><subfield code="t">Practical Portfolio Performance Measurement and Attribution</subfield><subfield code="d">Newark : John Wiley & Sons, Incorporated,c2023</subfield><subfield code="z">9781119831945</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-30-PQE</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-034097169</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">https://ebookcentral.proquest.com/lib/hwr/detail.action?docID=7184818</subfield><subfield code="l">HWR01</subfield><subfield code="p">ZDB-30-PQE</subfield><subfield code="q">HWR_PDA_PQE</subfield><subfield code="x">Aggregator</subfield><subfield code="3">Volltext</subfield></datafield></record></collection> |
| id | DE-604.BV048831591 |
| illustrated | Not Illustrated |
| index_date | 2024-07-03T21:35:29Z |
| indexdate | 2024-07-10T09:47:13Z |
| institution | BVB |
| isbn | 9781119831952 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-034097169 |
| oclc_num | 1371317326 |
| open_access_boolean | |
| owner | DE-2070s |
| owner_facet | DE-2070s |
| physical | 1 Online-Ressource (561 Seiten) |
| psigel | ZDB-30-PQE ZDB-30-PQE HWR_PDA_PQE |
| publishDate | 2023 |
| publishDateSearch | 2023 |
| publishDateSort | 2023 |
| publisher | John Wiley & Sons, Incorporated |
| record_format | marc |
| spelling | Bacon, Carl R. Verfasser aut Practical Portfolio Performance Measurement and Attribution 3rd ed Newark John Wiley & Sons, Incorporated 2023 ©2023 1 Online-Ressource (561 Seiten) txt rdacontent c rdamedia cr rdacarrier Description based on publisher supplied metadata and other sources Cover -- Title Page -- Copyright -- Contents -- Acknowledgements -- 1 Introduction -- Why Measure Portfolio Performance? -- The Performance Measurement Process -- The Purpose of This Book -- The Role of Performance Analysts -- Book Structure -- 2 The Asset Management Industry -- Asset Classes -- Public Equities -- Bonds (or Fixed Income) -- Cash (and near cash) -- Private Assets -- Real estate -- Private equity -- Private debt -- Infrastructure -- Natural resources -- Commodities -- Derivatives -- Futures -- Forwards -- Swaps -- Options -- Option price sensitivity (the Greeks) -- Warrants -- Convertible bonds -- Contracts for difference (CFDs) -- Overlay strategies -- Currency -- Hedge Funds -- Asset Allocation -- Strategic asset allocation -- Tactical asset allocation -- 3 The Mathematics of Portfolio Return -- Simple Return -- Continuously Compounded (or Logarithmic) Returns -- Money‐weighted Returns (MWRs) -- Internal rate of return (IRR) -- Ex‐ante internal rate of return -- Simple internal rate of return -- Ex‐post internal rate of return -- Simple Dietz -- ICAA method -- Modified Dietz -- Time‐weighted Returns (TWRs) -- True time‐weighted -- Unit price method -- Unit price method with distributions -- Time‐weighted versus Money‐weighted Rates of Return -- Approximations to the Time‐weighted Return -- Index substitution -- Regression method (or β method) -- Analyst's test -- Hybrid Methodologies -- Linked modified Dietz -- BAI method (or linked IRR) -- Which Method to Use? -- Late trading and market timing -- Self‐selection -- Large Cash Flow -- Self‐selection of methodologies -- Annualised Returns -- Since‐inception internal rate of return (SI‐IRR) -- Modified IRR (MIRR) -- Return hiatus -- Gross‐ and Net‐of‐fee Calculations -- Estimating gross‐ and net‐of‐fee returns -- Initial fees -- Performance fees -- Asymmetric or symmetric Crystallisation -- Performance fees in practice -- Equalisation -- Reporting hierarchy -- Overlay Strategies -- Overlay performance return calculations -- Base Currency and Local Returns -- Currency conversions -- Hedged Returns -- Currency overlay returns -- Perfectly hedged returns -- Portfolio Component Returns -- Money‐weighted component returns -- Time‐weighted component returns -- End of day -- Beginning of day -- Intra‐day weighted -- Differentiated -- Actual time -- Rule‐based -- Extremely large cash flows -- Which timing assumption to use for time‐weighted returns? -- Carve‐outs -- Sub‐portfolios -- Cash sectors -- Individual security returns -- Multi‐period component returns -- Abnormal returns -- Short positions -- Contribution to Return -- Composite Returns -- 4 Benchmarks -- Benchmarks -- Benchmark attributes -- Best benchmark practice -- The Role of Benchmarks -- Types of Benchmarks -- Commercial Indexes -- Calculation methodologies -- Aggregate price index (price‐weighted index or Carli type) -- Geometric (or Jevons type) index -- Market capitalisation index -- Laspeyres index -- Paasche index -- Marshall-Edgeworth index -- Fisher index -- Equal‐weighted indexes -- Fundamental indexes -- Optimised indexes (efficient or minimum variance indexes) -- Style‐ and factor‐based indexes -- Fixed income indexes -- Index providers -- Choice of index provider -- Self‐indexing -- Benchmark regulation -- Choice of index -- Currency effects in benchmarks -- Hedged indexes -- Customised Indexes -- Capped indexes -- Peer Groups and Universes -- Percentile rank -- Random Portfolios -- Exchange‐traded Funds (ETFs) -- Target Returns -- Blended Benchmarks (or Balanced Benchmarks) -- Fixed‐weight and dynamised benchmarks -- Spliced Indexes -- Money‐weighted Benchmarks (or Public Market Equivalents) -- Normal Portfolio -- Benchmark Statistics Index turnover -- Up‐capture indicator -- Down‐capture indicator -- Up‐number ratio -- Down‐number ratio -- Up‐percentage ratio -- Down‐percentage ratio -- Percentage gain ratio -- Excess Return -- Arithmetic excess return -- Geometric excess return -- 5 Risk -- Definition of Risk -- Risk types -- Risk management versus risk control -- Risk aversion -- Ex‐post and ex‐ante -- Descriptive Statistics -- Mean (or arithmetic mean) -- Mean absolute deviation (or mean deviation) -- Variance -- Bessel's correction (population or sample, n or n - 1) -- Sample variance -- Standard deviation (variability or volatility) -- Annualised risk (or time aggregation) -- The central limit theorem -- Frequency and number of data points -- Normal (or Gaussian) distribution -- Histograms -- Skewness (Fisher's or moment skewness) -- Sample skewness -- Kurtosis (Pearson's kurtosis) -- Excess kurtosis (or Fisher's kurtosis) -- Sample kurtosis -- Bera‐Jarque statistic (or Jarque‐Bera) -- Covariance -- Sample covariance -- Correlation (ρ) -- Sample correlation -- Performance Appraisal -- Sharpe ratio (reward to variability, Sharpe index) -- Roy ratio -- Risk‐free rate -- Alternative Sharpe ratio -- Revised Sharpe ratio -- Adjusted Sharpe ratio -- Skew‐adjusted Sharpe ratio -- Relative Risk -- Tracking error (or tracking risk, relative risk, active risk) -- Information ratio -- Geometric information ratio -- Modified information ratio -- Regression Analysis -- Regression equation -- Regression alpha -- Regression beta -- Regression epsilon -- Capital asset pricing model (CAPM) -- Beta (β) (systematic risk or volatility) -- Jensen's alpha (Jensen's measure or Jensen's differential return or ex‐post alpha) -- Annualised alpha -- Bull beta ( +) -- Bear beta ( −) -- Bear beta (& -- rmbeta -- −) -- Beta timing ratio -- Market timing -- Systematic risk -- Correlation R2 (or coefficient of determination) -- Specific (or residual) risk -- Treynor ratio (reward to volatility) -- Appraisal ratio (or Treynor‐Black ratio) -- Factor Models -- Fama decomposition -- Selectivity -- Diversification -- Net selectivity -- Fama‐French three‐factor model -- Three‐factor alpha (or Fama‐French alpha) -- Carhart four‐factor model -- Four‐factor alpha (or Carhart's alpha) -- Multi‐factor models -- Drawdown -- Average drawdown -- Maximum drawdown -- Largest individual drawdown -- Recovery time (or drawdown duration) -- Drawdown deviation -- Ulcer index -- Pain index -- Calmar ratio (or drawdown ratio) -- MAR ratio -- Sterling ratio -- Sterling‐Calmar ratio -- Burke ratio -- Modified Burke ratio -- Martin ratio (or ulcer performance index) -- Pain ratio -- Partial Moments -- Downside risk (or semi‐standard deviation) -- Downside potential -- Pure downside risk -- Half variance (or semi‐variance) -- Upside risk (or upside uncertainty) -- Mean absolute moment -- Omega ratio (Ω) -- Bernardo and Ledoit (or gain-loss) ratio -- d ratio -- Omega-Sharpe ratio -- Sortino ratio -- Reward to half‐variance -- Downside‐risk Sharpe ratio -- Sortino-Satchell ratio -- Upside potential ratio -- Volatility skewness -- Variability skewness -- Farinelli-Tibiletti ratio -- Prospect ratio -- Fixed Income Risk -- Pricing fixed income instruments -- Redemption yield (yield to maturity) -- Weighted average cash flow -- Duration (effective mean term, discounted mean term or volatility) -- Macaulay duration -- Macaulay-Weil duration -- Modified duration -- Portfolio duration -- Effective duration (or option‐adjusted duration) -- Duration to worst -- Convexity -- Modified convexity -- Effective convexity -- Portfolio convexity -- Bond returns -- Duration beta -- Reward to duration -- Miscellaneous Risk Measures -- Hurst index (or Hurst exponent) -- Bias ratio Active share -- Value at risk (VaR) -- Risk‐adjusted Return -- M2 -- M2 excess return -- Differential return -- Adjusted M2 -- Skew‐adjusted M2 -- Types of Excess Return (or Alpha) -- A Periodic Table of Risk Measures -- Periodic table design -- Why measure ex‐post risk? -- Which risk measures to use? -- Hedge funds -- Smoothing -- Outliers -- Data mining -- Time period -- 6 Return Attribution -- What Is Attribution? -- Definition -- Attribution as an asset management tool -- Early development -- Types of Return Attribution -- Returns‐based (regression or factor) attribution -- Holdings‐based (or buy/hold) attribution -- Transaction‐based attribution -- Arithmetic Attribution -- Brinson, Hood and Beebower -- Asset allocation -- Security (or stock) selection -- Interaction -- Brinson and Fachler -- Interaction -- Geometric Excess Return Attribution -- Asset allocation -- Stock selection -- Sector Weights -- Frequency of Analysis -- Security‐level attribution -- Transaction costs -- Off‐benchmark (or zero‐weight sector) attribution -- Attribution consistent with the investment decision process -- Market‐neutral attribution -- Attribution for 130/30 funds (or extended short funds) -- Leverage (or gearing) -- Attribution Including Derivatives -- Attribution including equity index futures -- Attribution analysis using options -- Multi‐currency Attribution -- Ankrim and Hensel -- Karnosky and Singer -- Geometric Multi‐currency Attribution -- Naïve currency attribution -- Compounding effects -- Geometric currency allocation -- Currency timing -- Interest Rate Differentials -- Revised currency allocation -- Revised country allocation -- Incorporating forward currency contracts -- Summarising -- Other currency issues -- Fixed Income Attribution -- The yield curve -- Yield curve analysis -- Carry -- Credit (or spread) -- Yield curve decomposition Wagner and Tito Erscheint auch als Druck-Ausgabe Bacon, Carl R. Practical Portfolio Performance Measurement and Attribution Newark : John Wiley & Sons, Incorporated,c2023 9781119831945 |
| spellingShingle | Bacon, Carl R. Practical Portfolio Performance Measurement and Attribution Cover -- Title Page -- Copyright -- Contents -- Acknowledgements -- 1 Introduction -- Why Measure Portfolio Performance? -- The Performance Measurement Process -- The Purpose of This Book -- The Role of Performance Analysts -- Book Structure -- 2 The Asset Management Industry -- Asset Classes -- Public Equities -- Bonds (or Fixed Income) -- Cash (and near cash) -- Private Assets -- Real estate -- Private equity -- Private debt -- Infrastructure -- Natural resources -- Commodities -- Derivatives -- Futures -- Forwards -- Swaps -- Options -- Option price sensitivity (the Greeks) -- Warrants -- Convertible bonds -- Contracts for difference (CFDs) -- Overlay strategies -- Currency -- Hedge Funds -- Asset Allocation -- Strategic asset allocation -- Tactical asset allocation -- 3 The Mathematics of Portfolio Return -- Simple Return -- Continuously Compounded (or Logarithmic) Returns -- Money‐weighted Returns (MWRs) -- Internal rate of return (IRR) -- Ex‐ante internal rate of return -- Simple internal rate of return -- Ex‐post internal rate of return -- Simple Dietz -- ICAA method -- Modified Dietz -- Time‐weighted Returns (TWRs) -- True time‐weighted -- Unit price method -- Unit price method with distributions -- Time‐weighted versus Money‐weighted Rates of Return -- Approximations to the Time‐weighted Return -- Index substitution -- Regression method (or β method) -- Analyst's test -- Hybrid Methodologies -- Linked modified Dietz -- BAI method (or linked IRR) -- Which Method to Use? -- Late trading and market timing -- Self‐selection -- Large Cash Flow -- Self‐selection of methodologies -- Annualised Returns -- Since‐inception internal rate of return (SI‐IRR) -- Modified IRR (MIRR) -- Return hiatus -- Gross‐ and Net‐of‐fee Calculations -- Estimating gross‐ and net‐of‐fee returns -- Initial fees -- Performance fees -- Asymmetric or symmetric Crystallisation -- Performance fees in practice -- Equalisation -- Reporting hierarchy -- Overlay Strategies -- Overlay performance return calculations -- Base Currency and Local Returns -- Currency conversions -- Hedged Returns -- Currency overlay returns -- Perfectly hedged returns -- Portfolio Component Returns -- Money‐weighted component returns -- Time‐weighted component returns -- End of day -- Beginning of day -- Intra‐day weighted -- Differentiated -- Actual time -- Rule‐based -- Extremely large cash flows -- Which timing assumption to use for time‐weighted returns? -- Carve‐outs -- Sub‐portfolios -- Cash sectors -- Individual security returns -- Multi‐period component returns -- Abnormal returns -- Short positions -- Contribution to Return -- Composite Returns -- 4 Benchmarks -- Benchmarks -- Benchmark attributes -- Best benchmark practice -- The Role of Benchmarks -- Types of Benchmarks -- Commercial Indexes -- Calculation methodologies -- Aggregate price index (price‐weighted index or Carli type) -- Geometric (or Jevons type) index -- Market capitalisation index -- Laspeyres index -- Paasche index -- Marshall-Edgeworth index -- Fisher index -- Equal‐weighted indexes -- Fundamental indexes -- Optimised indexes (efficient or minimum variance indexes) -- Style‐ and factor‐based indexes -- Fixed income indexes -- Index providers -- Choice of index provider -- Self‐indexing -- Benchmark regulation -- Choice of index -- Currency effects in benchmarks -- Hedged indexes -- Customised Indexes -- Capped indexes -- Peer Groups and Universes -- Percentile rank -- Random Portfolios -- Exchange‐traded Funds (ETFs) -- Target Returns -- Blended Benchmarks (or Balanced Benchmarks) -- Fixed‐weight and dynamised benchmarks -- Spliced Indexes -- Money‐weighted Benchmarks (or Public Market Equivalents) -- Normal Portfolio -- Benchmark Statistics Index turnover -- Up‐capture indicator -- Down‐capture indicator -- Up‐number ratio -- Down‐number ratio -- Up‐percentage ratio -- Down‐percentage ratio -- Percentage gain ratio -- Excess Return -- Arithmetic excess return -- Geometric excess return -- 5 Risk -- Definition of Risk -- Risk types -- Risk management versus risk control -- Risk aversion -- Ex‐post and ex‐ante -- Descriptive Statistics -- Mean (or arithmetic mean) -- Mean absolute deviation (or mean deviation) -- Variance -- Bessel's correction (population or sample, n or n - 1) -- Sample variance -- Standard deviation (variability or volatility) -- Annualised risk (or time aggregation) -- The central limit theorem -- Frequency and number of data points -- Normal (or Gaussian) distribution -- Histograms -- Skewness (Fisher's or moment skewness) -- Sample skewness -- Kurtosis (Pearson's kurtosis) -- Excess kurtosis (or Fisher's kurtosis) -- Sample kurtosis -- Bera‐Jarque statistic (or Jarque‐Bera) -- Covariance -- Sample covariance -- Correlation (ρ) -- Sample correlation -- Performance Appraisal -- Sharpe ratio (reward to variability, Sharpe index) -- Roy ratio -- Risk‐free rate -- Alternative Sharpe ratio -- Revised Sharpe ratio -- Adjusted Sharpe ratio -- Skew‐adjusted Sharpe ratio -- Relative Risk -- Tracking error (or tracking risk, relative risk, active risk) -- Information ratio -- Geometric information ratio -- Modified information ratio -- Regression Analysis -- Regression equation -- Regression alpha -- Regression beta -- Regression epsilon -- Capital asset pricing model (CAPM) -- Beta (β) (systematic risk or volatility) -- Jensen's alpha (Jensen's measure or Jensen's differential return or ex‐post alpha) -- Annualised alpha -- Bull beta ( +) -- Bear beta ( −) -- Bear beta (& -- rmbeta -- −) -- Beta timing ratio -- Market timing -- Systematic risk -- Correlation R2 (or coefficient of determination) -- Specific (or residual) risk -- Treynor ratio (reward to volatility) -- Appraisal ratio (or Treynor‐Black ratio) -- Factor Models -- Fama decomposition -- Selectivity -- Diversification -- Net selectivity -- Fama‐French three‐factor model -- Three‐factor alpha (or Fama‐French alpha) -- Carhart four‐factor model -- Four‐factor alpha (or Carhart's alpha) -- Multi‐factor models -- Drawdown -- Average drawdown -- Maximum drawdown -- Largest individual drawdown -- Recovery time (or drawdown duration) -- Drawdown deviation -- Ulcer index -- Pain index -- Calmar ratio (or drawdown ratio) -- MAR ratio -- Sterling ratio -- Sterling‐Calmar ratio -- Burke ratio -- Modified Burke ratio -- Martin ratio (or ulcer performance index) -- Pain ratio -- Partial Moments -- Downside risk (or semi‐standard deviation) -- Downside potential -- Pure downside risk -- Half variance (or semi‐variance) -- Upside risk (or upside uncertainty) -- Mean absolute moment -- Omega ratio (Ω) -- Bernardo and Ledoit (or gain-loss) ratio -- d ratio -- Omega-Sharpe ratio -- Sortino ratio -- Reward to half‐variance -- Downside‐risk Sharpe ratio -- Sortino-Satchell ratio -- Upside potential ratio -- Volatility skewness -- Variability skewness -- Farinelli-Tibiletti ratio -- Prospect ratio -- Fixed Income Risk -- Pricing fixed income instruments -- Redemption yield (yield to maturity) -- Weighted average cash flow -- Duration (effective mean term, discounted mean term or volatility) -- Macaulay duration -- Macaulay-Weil duration -- Modified duration -- Portfolio duration -- Effective duration (or option‐adjusted duration) -- Duration to worst -- Convexity -- Modified convexity -- Effective convexity -- Portfolio convexity -- Bond returns -- Duration beta -- Reward to duration -- Miscellaneous Risk Measures -- Hurst index (or Hurst exponent) -- Bias ratio Active share -- Value at risk (VaR) -- Risk‐adjusted Return -- M2 -- M2 excess return -- Differential return -- Adjusted M2 -- Skew‐adjusted M2 -- Types of Excess Return (or Alpha) -- A Periodic Table of Risk Measures -- Periodic table design -- Why measure ex‐post risk? -- Which risk measures to use? -- Hedge funds -- Smoothing -- Outliers -- Data mining -- Time period -- 6 Return Attribution -- What Is Attribution? -- Definition -- Attribution as an asset management tool -- Early development -- Types of Return Attribution -- Returns‐based (regression or factor) attribution -- Holdings‐based (or buy/hold) attribution -- Transaction‐based attribution -- Arithmetic Attribution -- Brinson, Hood and Beebower -- Asset allocation -- Security (or stock) selection -- Interaction -- Brinson and Fachler -- Interaction -- Geometric Excess Return Attribution -- Asset allocation -- Stock selection -- Sector Weights -- Frequency of Analysis -- Security‐level attribution -- Transaction costs -- Off‐benchmark (or zero‐weight sector) attribution -- Attribution consistent with the investment decision process -- Market‐neutral attribution -- Attribution for 130/30 funds (or extended short funds) -- Leverage (or gearing) -- Attribution Including Derivatives -- Attribution including equity index futures -- Attribution analysis using options -- Multi‐currency Attribution -- Ankrim and Hensel -- Karnosky and Singer -- Geometric Multi‐currency Attribution -- Naïve currency attribution -- Compounding effects -- Geometric currency allocation -- Currency timing -- Interest Rate Differentials -- Revised currency allocation -- Revised country allocation -- Incorporating forward currency contracts -- Summarising -- Other currency issues -- Fixed Income Attribution -- The yield curve -- Yield curve analysis -- Carry -- Credit (or spread) -- Yield curve decomposition Wagner and Tito |
| title | Practical Portfolio Performance Measurement and Attribution |
| title_auth | Practical Portfolio Performance Measurement and Attribution |
| title_exact_search | Practical Portfolio Performance Measurement and Attribution |
| title_exact_search_txtP | Practical Portfolio Performance Measurement and Attribution |
| title_full | Practical Portfolio Performance Measurement and Attribution |
| title_fullStr | Practical Portfolio Performance Measurement and Attribution |
| title_full_unstemmed | Practical Portfolio Performance Measurement and Attribution |
| title_short | Practical Portfolio Performance Measurement and Attribution |
| title_sort | practical portfolio performance measurement and attribution |
| work_keys_str_mv | AT baconcarlr practicalportfolioperformancemeasurementandattribution |