Portfolio performance measurement and benchmarking
Christopherson, Jon A.; Carino, David Runge; Ferson, Wayne E.
Portfolio performance measurement and benchmarking - New Delhi Tata McGraw Hill 2009 - xii, 466 P. 23 cm ; HB
Gratis Received from the Publisher
What is performance and benchmarking? --
Asset class return expectations --
Returns without cash flows --
Average returns --
Returns in the presence of cash flows --
Comparing two portfolio returns --
Some foundations --
Estimating the elements of the CAPM --
What is risk? --
Risk-adjusted return measures --
Fixed-income risk --
Conditional performance evaluation --
Market timing --
Factor models --
Factors of equity returns in the United States --
Factor model (Barra) performance attribution --
Contributions to return. Performance attribution --
Linking attribution effects --
Benchmarks and knowledge --
Elements of a desirable benchmark --
Index weighting --
Practical issues with building indexes --
Styles, factors, and equity benchmarks --
Equity style indexes: tools for better performance evaluation and plan management --
Russell style index methodology --
U.S. equity benchmarks --
Global and international equity benchmarks --
Fixed-income benchmarks --
Real estate benchmarks --
Hedge fund universes --
Determining investment style --
GIPS: global investments performance standards.
This state-of-the-art guidebook to performance evaluation of managed asset portfolios covers a wide variety of performance measurement methodologies and evaluation techniques.
978-0070683389
Portfolio management
Bench marking (Management)
Investment analysis
332.6 CHR
Portfolio performance measurement and benchmarking - New Delhi Tata McGraw Hill 2009 - xii, 466 P. 23 cm ; HB
Gratis Received from the Publisher
What is performance and benchmarking? --
Asset class return expectations --
Returns without cash flows --
Average returns --
Returns in the presence of cash flows --
Comparing two portfolio returns --
Some foundations --
Estimating the elements of the CAPM --
What is risk? --
Risk-adjusted return measures --
Fixed-income risk --
Conditional performance evaluation --
Market timing --
Factor models --
Factors of equity returns in the United States --
Factor model (Barra) performance attribution --
Contributions to return. Performance attribution --
Linking attribution effects --
Benchmarks and knowledge --
Elements of a desirable benchmark --
Index weighting --
Practical issues with building indexes --
Styles, factors, and equity benchmarks --
Equity style indexes: tools for better performance evaluation and plan management --
Russell style index methodology --
U.S. equity benchmarks --
Global and international equity benchmarks --
Fixed-income benchmarks --
Real estate benchmarks --
Hedge fund universes --
Determining investment style --
GIPS: global investments performance standards.
This state-of-the-art guidebook to performance evaluation of managed asset portfolios covers a wide variety of performance measurement methodologies and evaluation techniques.
978-0070683389
Portfolio management
Bench marking (Management)
Investment analysis
332.6 CHR