Practical portfolio performance measurement and attribution / / Carl R. Bacon

• Record Nr.: UNINA9910676534603321
• Autore: Bacon Carl R.
• Pubbl/distr/stampa: Hoboken, New Jersey : , : Wiley, , 2023
• ISBN: 1-119-83197-0; 1-119-83195-4
• Edizione: [Third edition.]
• Descrizione fisica: 1 online resource (561 pages)
• Disciplina: 332.6
• Soggetti: Investment analysis; Portfolio management; Business enterprises - Finance
• Lingua di pubblicazione: Inglese
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Nota di bibliografia: Includes bibliographical references and index.
• Nota di contenuto: 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 (&amp -- 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.
• Sommario/riassunto: "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 behavior of a portfolio of assets, communicate with clients and determine how performance can be improved. The process of adding value via benchmarking, asset allocation, security analysis, portfolio construction, and executing transactions is collectively described as the investment decision process. There are many stakeholders in the investment decision process; this book focuses on the investors or owners of capital and the firms managing their assets (asset managers or individual portfolio managers)"--