Practical Portfolio Performance Measurement and Attribution

Carl Bacon

225 pages, parution le 27/09/2004

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Résumé

An introductory guide to the significant developments in the area of performance measurement

This book provides a clear introduction to the subject of performance measurement. Focusing more on the practical use and calculation of performance returns rather than the academic background it will help readers gain a clear understanding of the role and implications of performance measurement in today's financial environment. Carl Bacon (London, UK) is Chairman, StatPro Group PLC, a company that develops and markets specialist middle office reporting software to the asset management industry.

L'auteur - Carl Bacon

Carl Bacon joined StatPro Group plc as Chairman in April 2000. StatPro develops and markets specialist middle-office reporting software to the asset management industry. Carl also runs his own consultancy business providing advice to asset managers on various risk and performance measurement issues.
Prior to joining StatPro Carl was Director of Risk Control and Performance at Foreign & Colonial Management Ltd, Vice President Head of Performance (Europe) for J P Morgan Investment Management Inc., and Head of Performance for Royal Insurance Asset Management.
Carl holds a BSc Hons in Mathematics from Manchester University and is a member of the UK Investment Performance Committee (UKIPC), the European Investment Performance Committee (EIPC) and the Investment Performance Council (IPC). An original GIPS committee member, Carl also chairs the IPC Interpretations Sub-Committee, is ex-chair of the IPC Verification Sub-Committee and is a member of the Advisory Board of the Journal of Performance Measurement.

Sommaire

Introduction
The Mathematics of Portfolio Return
Benchmarks
Risk
Performance Attribution
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

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Wiley
Auteur(s)	Carl Bacon
Parution	27/09/2004
Nb. de pages	225
Format	17,5 x 25
Couverture	Relié
Poids	615g
Intérieur	Noir et Blanc
EAN13	9780470856796
ISBN13	978-0-470-85679-6