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.