Practical Portfolio Performance Measurement and Attribution
By C. Bacon. 2004
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About the Author.Acknowledgements.1 Introduction.Why measure portfolio performance?The purpose of this book.Reference.2 The Mathematics of Portfolio Return.Simple return.Money-weighted returns.Time-weighted returns.Time-weighted versus money-weighted rates of return.Approximations to the time-weighted return.Hybrid methodologies.Which method to use?Self-selection.Annualized returns.Continuously compounded returns.Gross- and net-of-fee calculations.Portfolio component returns.Base currency and local returns.References.3 Benchmarks.Benchmarks.Peer groups and universes.Notional funds.Excess return.4 Risk.Definition of risk.Risk measures.Regression analysis.Relative risk.Return distributions.Downside risk.Fixed income risk.Which risk measures to use?Risk control structure.References.5 Performance Attribution.Arithmetic attribution.Brinson and Fachler.Interaction.Geometric excess return attribution.Sector weights.Multi-period attribution.Smoothing algorithms.Risk-adjusted attribution.Multi-currency attribution.Geometric multi-currency attribution.Fixed income attribution.Attribution standards.References.6 Performance Presentation Standards.Why do we need performance presentation standards?Advantages for asset managers.The standards.Verification.Investment Performance Council.Achieving compliance.Maintaining compliance.Reference.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.Bibliography.Index.
Subfields: Finance
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- Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500 (2017, background): “The majority of selected performance metrics is detailed in Bacon (2008).”