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Investment Performance Measurement: Evaluating and Presenting Results

Investment Performance Measurement: Evaluating and Presenting Results

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  Get the best in investment performance evaluation and presentation from the CFA Research Foundation.

内容简介

  The book will consist of an Introduction by the co-editors and a topically arranged selection of monographs published by the CFA Institute Research Foundation; articles that appeared in the Financial Analysts Journal, CFA Magazine, and CFA Institute Conference Proceedings; and two pertinent chapters from a book in Wileys CFA Institute Investment Series.Following the Introduction, the topical sections are an overview of investment performance evaluation; performance measurement, focusing on benchmark construction and selection; performance attribution analysis (determining the sources of returns); performance appraisal, with particular emphasis on risk-adjusted returns; and performance presentation.Because many of the selections refer to the Global Investment Performance Standards (GIPS), the Standards themselves will be included as an Appendix to the volume.

目录

Praise
Title Page
Copyright Page
Foreword
Introduction
OVERVIEW
PERFORMANCE MEASUREMENT
PERFORMANCE ATTRIBUTION
PERFORMANCE APPRAISAL
GLOBAL INVESTMENT PERFORMANCE STANDARDS
SUMMARY
PART I - OVERVIEW OF PERFORMANCE EVALUATION
CHAPTER 1 - EVALUATING PORTFOLIO PERFORMANCE
THE IMPORTANCE OF PERFORMANCE EVALUATION
THE THREE COMPONENTS OF PERFORMANCE EVALUATION
PERFORMANCE MEASUREMENT
BENCHMARKS
PERFORMANCE ATTRIBUTION
PERFORMANCE APPRAISAL
THE PRACTICE OF PERFORMANCE EVALUATION
NOTES
REFERENCES
PART II - PERFORMANCE MEASUREMENT
CHAPTER 2 - BENCHMARKS AND INVESTMENT MANAGEMENT
FOREWORD
PREFACE
ORIGINS, USES, AND CHARACTERISTICS OF U.S. EQUITY BENCHMARKS
USING BENCHMARKS TO MEASURE PERFORMANCE
BUILDING PORTFOLIOS OF MANAGERS
THE EVOLUTION OF MPT AND THE BENCHMARKING PARADIGM
THE 1990s BUBBLE AND THE CRISIS IN MPT
CRITIQUES OF BENCHMARKING AND A WAY FORWARD
THE IMPACT OF BENCHMARKING ON MARKETS AND INSTITUTIONS
U.S. EQUITY STYLE INDEXES
FIXED-INCOME BENCHMARKS
INTERNATIONAL EQUITY BENCHMARKS
HEDGE FUND BENCHMARKS
POLICY BENCHMARKS
ACKNOWLEDGMENTS
NOTES
REFERENCES
CHAPTER 3 - THE IMPORTANCE OF INDEX SELECTION
INDEX METHODOLOGIES
INDEX COMPARISONS
MANAGING TO INDEXES
CONCLUSION
NOTE
CHAPTER 4 - AFTER-TAX PERFORMANCE EVALUATION
WHY THE AFTER-TAX FOCUS
FACTORS AFFECTING TAX EFFICIENCY
MEASURING AFTER-TAX PERFORMANCE
CONCLUSION
QUESTION AND ANSWER SESSION
CHAPTER 5 - TAXABLE BENCHMARKS: THE COMPLEXITY INCREASES
STANDARD BENCHMARK RULES
AIMR AFTER-TAX STANDARDS
IMPORTANCE OF THE CAPITAL GAIN REALIZATION RATE
CONVERTING A STANDARD PRETAX BENCHMARK
SHADOW PORTFOLIOS
CONCLUSION
QUESTION AND ANSWER SESSION
NOTE
CHAPTER 6 - OVERCOMING CAP-WEIGHTED BOND BENCHMARK DEFICIENCIES
DIVERSIFICATION
PREVALENCE OF CAP-WEIGHTED BENCHMARKS
WHY MOST BOND BENCHMARKS ARE FLAWED
ANALYSIS OF THREE CAP-WEIGHTED INDICES
HIGH-YIELD SECTOR
BEYOND CASH BONDS
EMERGING MARKET BOND INDICES
GBI-EM
NEEDS SHOULD DICTATE THE BENCHMARK
ALTERNATIVE BENCHMARKS
CONCLUSION
QUESTION AND ANSWER SESSION
REFERENCES
CHAPTER 7 - YIELD BOGEYS
APPROXIMATING PORTFOLIO YIELD
TREASURY YIELD BOGEYS
ARE YIELD BOGEY MISMEASUREMENTS A WASH?
CONCLUSION
NOTES
REFERENCES
CHAPTER 8 - JUMPING ON THE BENCHMARK BANDWAGON
IS IT APPROPRIATE?
"A HELL OF A DISCUSSION"
MEASURING "PURE ALPHA"
TOUGH CHOICES
CONSTRUCTING A SYNTHETIC UNIVERSE
A COLLABORATIVE EFFORT
PART III - PERFORMANCE ATTRIBUTION
CHAPTER 9 - DETERMINANTS OF PORTFOLIO PERFORMANCE
A FRAMEWORK FOR ANALYSIS
DATA
RESULTS
RETURN VARIATION
IMPLICATIONS
NOTES
CHAPTER 10 - DETERMINANTS OF PORTFOLIO PERFORMANCE II: AN UPDATE
FRAMEWORK
RESULTS
INTERNAL VERSUS EXTERNAL RISK POSITIONING
CONCLUSION
NOTES
CHAPTER 11 - DETERMINANTS OF PORTFOLIO PERFORMANCE-20 YEARS LATER
CHAPTER 12 - EQUITY PORTFOLIO CHARACTERISTICS IN PERFORMANCE ANALYSIS
USES OF PORTFOLIO CHARACTERISTICS
DATA AND CALCULATION ISSUES
TYPES OF CHARACTERISTICS
MANAGER MONITORING AND STYLE ANALYSIS
ATTRIBUTION ANALYSIS
LIMITATIONS OF PORTFOLIO CHARACTERISTICS ANALYSIS
NOTES
CHAPTER 13 - MUTUAL FUND PERFORMANCE: DOES FUND SIZE MATTER?
WHY FUND SIZE MATTERS
SAMPLE DESCRIPTION
DESCRIPTIVE STATISTICS
NET EFFECTS OF FUND SIZE
FUND SIZE AND INVESTMENT STYLE
FUND SIZE AND STYLE CONSISTENCY
CONCLUSION
NOTES
REFERENCES
CHAPTER 14 - MULTIPERIOD ARITHMETIC ATTRIBUTION
ARITHMETIC VS. GEOMETRIC MEASURES
SINGLE-PERIOD SECTOR-BASED DECOMPOSITION
METHODS' CHARACTERISTICS AND PROPERTIES
ARITHMETIC ALGORITHMS
CONCLUSION
APPENDIX 14A: NATURAL SCALING FROM SINGLE-PERIOD TO MULTIPERIOD CASE
NOTES
REFERENCES
CHAPTER 15 - OPTIMIZED GEOMETRIC ATTRIBUTION
SINGLE-PERIOD ATTRIBUTION: REVIEW
MULTIPERIOD ATTRIBUTION
GEOMETRIC ALGORITHMS
ADJUSTED PURE GEOMETRIC METHOD
CONCLUSION
APPENDIX 15A: DERIVATION OF OPTIMIZED GEOMETRIC ATTRIBUTION
NOTES
REFERENCES
CHAPTER 16 - CUSTOM FACTOR ATTRIBUTION
GENERAL ATTRIBUTION
PERFORMANCE ATTRIBUTION FOR CUSTOM FACTORS
RISK ATTRIBUTION FOR CUSTOM FACTORS
RISK-ADJUSTED PERFORMANCE ATTRIBUTION
EXAMPLE
CONCLUSION
APPENDIX 16A: OPTIMAL EXPECTED RETURNS
APPENDIX 16B: FORMULAS FOR VOLATILITIES AND CORRELATIONS
APPENDIX 16C: REMOVING COLINEARITIES THROUGH RESTRICTED LEAST SQUARES
ACKNOWLEDGMENTS
NOTES
REFERENCES
CHAPTER 17 - RETURN, RISK, AND PERFORMANCE ATTRIBUTION
EXAMPLE 1
EXAMPLE 2
EXAMPLE 3
CONCLUSION
QUESTION AND ANSWER SESSION
CHAPTER 18 - GLOBAL ASSET MANAGEMENT AND PERFORMANCE ATTRIBUTION
FOREWORD
PREFACE
INTRODUCTION
THE GENERAL FRAMEWORK
GLOBAL PERFORMANCE ATTRIBUTION
INTERPRETATION OF GLOBAL PERFORMANCE ATTRIBUTIONS
GLOBAL BALANCED PORTFOLIOS
CONCLUSION
APPENDIX 18A
APPENDIX 18B
NOTES
REFERENCES
CHAPTER 19 - CURRENCY OVERLAY IN PERFORMANCE EVALUATION
PORTFOLIO DECOMPOSITION AND PERFORMANCE MEASUREMENT
ATTRIBUTION ANALYSIS
CONCLUSION
APPENDIX 19A: PERFORMANCE MEASUREMENT EXAMPLES
APPENDIX 19B: PORTFOLIO PERFORMANCE
APPENDIX 19C: COVERED INTEREST RATE PARITY
APPENDIX 19D: ATTRIBUTION VARIABLES
ACKNOWLEDGMENTS
NOTES
REFERENCES
PART IV - PERFORMANCE APPRAISAL
CHAPTER 20 - ON THE PERFORMANCE OF HEDGE FUNDS
DATA AND SAMPLE STATISTICS
FUND FEATURES AND PERFORMANCE
HEDGE FUND PERFORMANCE AND RISK
HEDGE FUNDS VERSUS MUTUAL FUNDS
SURVIVORSHIP BIAS
CONCLUSION
ACKNOWLEDGMENTS
APPENDIX 20A: HEDGE FUND STRATEGIES
NOTES
REFERENCES
CHAPTER 21 - FUNDS OF HEDGE FUNDS
GROWTH OF FUNDS OF FUNDS
ADDED VALUE FROM FUNDS OF FUNDS
FUND-OF-FUNDS PERFORMANCE
EFFECTS OF STYLE AND MANAGER CHOICE
PROSPECTS FOR MULTISTRATEGY FUNDS
CONCLUSION
QUESTION AND ANSWER SESSION
REFERENCES
CHAPTER 22 - HEDGE FUND DUE DILIGENCE
PAYING CAREFUL ATTENTION
SHINING A BRIGHT LIGHT
CREATING A MOSAIC
HANDSHAKE BUSINESS
CHAPTER 23 - PUTTING RISK MEASUREMENT IN CONTEXT
MAKING THE GRADE
LEVERAGING RISK
MAXIMIZING VAR
CHAPTER 24 - CONDITIONAL PERFORMANCE EVALUATION, REVISITED
FOREWORD
PREFACE
CONDITIONAL PERFORMANCE EVALUATION, REVISITED
REVIEW OF CONDITIONAL PERFORMANCE EVALUATION
MEASURING THE STATES OF THE ECONOMY
EMPIRICAL MODELS
DATA
PERFORMANCE OF BROAD FUND GROUPS
INDIVIDUAL FUND PERFORMANCE
PERFORMANCE AND INDIVIDUAL-FUND CHARACTERISTICS
MARKET TIMING
IMPLICATIONS FOR PRACTICING FINANCIAL ANALYSTS
SUMMARY AND CONCLUSIONS
APPENDIX 24A: ADDITIONAL TABLES
NOTES
REFERENCES
CHAPTER 25 - DISTINGUISHING TRUE ALPHA FROM BETA
THE DIMENSIONS OF ACTIVE MANAGEMENT
DO HEDGE FUNDS CHARGE ALPHA FEES FOR BETA PERFORMANCE?
POLICY IMPLICATIONS FOR PENSION FUNDS AND OTHER INVESTORS
QUESTION AND ANSWER SESSION
NOTE
CHAPTER 26 - A PORTFOLIO PERFORMANCE INDEX
ALTERNATIVES TO THE SHARPE RATIO
SHARPE RATIO MAXIMIZATION
BEHAVIORAL HYPOTHESIS
FINDING THE OPTIMAL PORTFOLIO: A DISTRIBUTION-FREE APPROACH
EMPIRICAL EXAMPLE
CONCLUSIONS
ACKNOWLEDGMENTS
NOTES
REFERENCES
CHAPTER 27 - APPROXIMATING THE CONFIDENCE INTERVALS FOR SHARPE STYLE WEIGHTS
A PRIMER ON STYLE ANALYSIS
THE SIMULATION PROCEDURE
CONCLUSION
APPENDIX: APPROXIMATING THE CONFIDENCE INTERVAL FOR SHARPE STYLE WEIGHTS
REFERENCES
CHAPTER 28 - THE STATISTICS OF SHARPE RATIOS
IID RETURNS
NON-IID RETURNS
TIME AGGREGATION
AN EMPIRICAL EXAMPLE
CONCLUSION
APPENDIX 28A: ASYMPTOTIC DISTRIBUTIONS OF SHARPE RATIO ESTIMATORS
ACKNOWLEDGMENTS
NOTES
REFERENCES
CHAPTER 29 - RISK-ADJUSTED PERFORMANCE
THE PROBLEM
LUCK VERSUS SKILL
CORRELATION-ADJUSTED PORTFOLIO AND THE M-3 MEASURE
THE M-3 MODEL
RANKING MUTUAL FUNDS
EXTENSION TO MULTIPLE MUTUAL FUNDS
ADJUSTING FOR TIME
CAVEATS
CONCLUSIONS
APPENDIX 29A: DETERMINING a AND b
APPENDIX 29B: MULTIPLE MUTUAL FUNDS
NOTES
REFERENCES
CHAPTER 30 - INDEX CHANGES AND LOSSES TO INDEX FUND INVESTORS
INDEX CHANGES AND RETURN PATTERNS
LOSSES TO INDEX FUND INVESTORS
CORROBORATING EVIDENCE
LIMITATIONS OF TRACKING ERROR
IMPROVING INDEX CONSTRUCTION
CONCLUSION
ACKNOWLEDGMENTS
NOTES
REFERENCES
CHAPTER 31 - INFORMATION RATIOS AND BATTING AVERAGES
THE GAME
RESULTS FOR VARIOUS INVESTMENT STRATEGIES
GOOD BATTERS ARE SKEWED
CONCLUSION
APPENDIX 31A: FINDING THE IR FROM THE BATTING AVERAGE
ACKNOWLEDGMENTS
NOTES
REFERENCES
CHAPTER 32 - THE INFORMATION RATIO
THE RATIO DEFINED
INTERPRETATIONS OF THE RATIO
THE SHARPE RATIO AND THE INFORMATION RATIO
INFORMATION RATIOS AND t-STATISTICS
ANNUALIZATION
EMPIRICAL EVIDENCE ON INFORMATION RATIOS
CAVEATS
CONCLUSION
NOTES
REFERENCES
CHAPTER 33 - DOES ASSET ALLOCATION POLICY EXPLAIN 40, 90, OR 100 PERCENT OF PERFORMANCE?
FRAMEWORK
DATA
QUESTIONS AND ANSWERS
CONCLUSION
ACKNOWLEDGMENTS
NOTES
REFERENCES
CHAPTER 34 - FUND MANAGEMENT CHANGES AND EQUITY STYLE SHIFTS
DATA
RESEARCH METHODS
RESULTS
CONCLUSIONS
NOTES
REFERENCES
CHAPTER 35 - MANAGING PERFORMANCE: MONITORING AND TRANSITIONING MANAGERS
BACKGROUND
SELECTING AN INVESTMENT MANAGER
MONITORING AN INVESTMENT MANAGER
CATALYSTS FOR CHANGING A MANAGER
TRANSFERRING A TAXABLE PORTFOLIO TO A NEW MANAGER
CONCLUSION
QUESTION AND ANSWER SESSION
CHAPTER 36 - DOES THE EMPEROR WEAR CLOTHES OR NOT? THE FINAL WORD (OR ALMOST) ...
EQUITY STRUCTURE
METHODOLOGY
RESULTS
TIME DEPENDENCY
FIXED-INCOME STRUCTURE
INVESTMENT IMPLICATIONS
CONCLUSIONS
REFERENCES
CHAPTER 37 - DOES HISTORICAL PERFORMANCE PREDICT FUTURE PERFORMANCE?
PREVIOUS RESEARCH
PERFORMANCE MEASURES
STYLE ANALYSIS
SURVIVORSHIP BIAS
THE DATA
METHODOLOGY
EQUITY RESULTS
FIXED-INCOME RESULTS
ACCOUNTING FOR FEES AND EXPENSES
SURVIVORSHIP BIAS
SUMMARY OF RESULTS
CONTEXT
INVESTMENT IMPLICATIONS
CONCLUSIONS
NOTES
CHAPTER 38 - EVALUATING FUND PERFORMANCE IN A DYNAMIC MARKET
A NUMERICAL EXAMPLE
DATA
TRADITIONAL MEASURES OF PERFORMANCE
CONDITIONAL PERFORMANCE EVALUATION
EXPLAINING BETA CHANGES
CONDITIONAL MARKET TIMING
CONCLUSIONS
NOTES
REFERENCES
CHAPTER 39 - INVESTMENT PERFORMANCE APPRAISAL
TOTAL FUND PERSPECTIVE
PERFORMANCE REPORTS
PERFORMANCE RELATIVE TO THE BENCHMARK
PEER GROUP COMPARISONS
PORTFOLIO CHARACTERISTICS ANALYSIS
PERFORMANCE ATTRIBUTION
RISK ANALYSIS
TAKING ACTION
NOTES
CHAPTER 40 - THINKING OUTSIDE THE BOX: RISK MANAGEMENT FIRMS PUT A CREATIVE ...
A SIMPLE REQUEST
POWERFUL SOLUTIONS
ANSWERING THE CALL
THE 90/10 RULE
STRESSING THE DATA
SENSITIVITY ANALYSIS AND SIMULATIONS
OUT OF THE BOX . . .
. . . AND ONTO THE CUTTING EDGE
NOTE
PART V - GLOBAL INVESTMENT PERFORMANCE STANDARDS
CHAPTER 41 - GLOBAL INVESTMENT PERFORMANCE STANDARDS
BACKGROUND OF THE GIPS STANDARDS
PROVISIONS OF THE GIPS STANDARDS
VERIFICATION
GIPS ADVERTISING GUIDELINES
OTHER ISSUES
NOTES
REFERENCES
APPENDIX A - GLOBAL INVESTMENT PERFORMANCE STANDARDS (GIPS?
APPENDIX B - CORRECTIONS TO GIPS STANDARDS 2005
ABOUT THE CONTRIBUTORS
INDEX
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