Investment performance measurement : evaluating and presenting results / [book]
Lawton, Philip
Investment performance measurement : evaluating and presenting results / [book] Philip Lawton - Hoboken, N.J. : John Wiley & Sons, 2009 - xi, 970 p. : ill ; 26 cm. - CFA Institute investment perspectives series .
Includes bibliographical references and index
Introduction -- Part 1: Overview of performance evaluation -- Evaluating portfolio performance -- Part 2: Performance measurement -- Benchmarks and investment management -- The importance of index selection -- After-tax performance evaluation -- Taxable benchmarks: the complexity increases -- Overcoming cap-weighted bond benchmark deficiencies -- Yield bogeys -- Jumping on the benchmark bandwagon: benchmark methodologies are the subject of vigorous debate -- Part 3: Performance attribution -- Determinants of portfolio performance -- Determinants of portfolio performance II: an update -- Determinants of portfolio performance-20 years later -- Equity portfolio characteristics in performance analysis -- Mutual fund performance: does fund size matter? -- Multiperiod arithmetic attribution -- Optimized geometric attribution -- Custom factor attribution -- Return, risk, and performance attribution -- Global asset management and performance attribution -- Currency overlay in performance evaluation -- Part 4: Performance appraisal -- On the performance of hedge funds -- Funds of hedge funds: performance and persistence -- Hedge fund due diligence: putting together the pieces of the mosaic helps reveal operational risks -- Putting risk measurement in context: why one size -- Conditional performance evaluation, revisited -- Distinguishing true alpha from beta -- A portfolio performance index -- Approximating the confidence intervals for sharpe -- The statistics of sharpe ratios -- Risk-adjusted performance: the correlation correction -- Index changes and losses to index fund investors -- Information ratios and batting averages -- The information ratio -- Does asset allocation policy explain 40, 90, or 100 percent of performance? -- Fund management changes and equity style shifts -- Managing performance: monitoring and transitioning managers -- Does the emperor wear clothes or not? the final word (or almost) on the parable of investment management -- Does historical performance predict future performance? -- Evaluating fund performance in a dynamic market -- Investment performance appraisal -- Thinking outside the box: Risk management firms put a creative spin on coupling theory with practice -- Part 5: Global investment performance standards -- Appendixes: Global investment performance standards (GIPSD) -- Corrections to GIPS standards 2005: last updated October 31, 2006.
9780470395028
INVESTMENT ANALYSIS
INVESTMENTS
HG 4529 / L38I 2009
Investment performance measurement : evaluating and presenting results / [book] Philip Lawton - Hoboken, N.J. : John Wiley & Sons, 2009 - xi, 970 p. : ill ; 26 cm. - CFA Institute investment perspectives series .
Includes bibliographical references and index
Introduction -- Part 1: Overview of performance evaluation -- Evaluating portfolio performance -- Part 2: Performance measurement -- Benchmarks and investment management -- The importance of index selection -- After-tax performance evaluation -- Taxable benchmarks: the complexity increases -- Overcoming cap-weighted bond benchmark deficiencies -- Yield bogeys -- Jumping on the benchmark bandwagon: benchmark methodologies are the subject of vigorous debate -- Part 3: Performance attribution -- Determinants of portfolio performance -- Determinants of portfolio performance II: an update -- Determinants of portfolio performance-20 years later -- Equity portfolio characteristics in performance analysis -- Mutual fund performance: does fund size matter? -- Multiperiod arithmetic attribution -- Optimized geometric attribution -- Custom factor attribution -- Return, risk, and performance attribution -- Global asset management and performance attribution -- Currency overlay in performance evaluation -- Part 4: Performance appraisal -- On the performance of hedge funds -- Funds of hedge funds: performance and persistence -- Hedge fund due diligence: putting together the pieces of the mosaic helps reveal operational risks -- Putting risk measurement in context: why one size -- Conditional performance evaluation, revisited -- Distinguishing true alpha from beta -- A portfolio performance index -- Approximating the confidence intervals for sharpe -- The statistics of sharpe ratios -- Risk-adjusted performance: the correlation correction -- Index changes and losses to index fund investors -- Information ratios and batting averages -- The information ratio -- Does asset allocation policy explain 40, 90, or 100 percent of performance? -- Fund management changes and equity style shifts -- Managing performance: monitoring and transitioning managers -- Does the emperor wear clothes or not? the final word (or almost) on the parable of investment management -- Does historical performance predict future performance? -- Evaluating fund performance in a dynamic market -- Investment performance appraisal -- Thinking outside the box: Risk management firms put a creative spin on coupling theory with practice -- Part 5: Global investment performance standards -- Appendixes: Global investment performance standards (GIPSD) -- Corrections to GIPS standards 2005: last updated October 31, 2006.
9780470395028
INVESTMENT ANALYSIS
INVESTMENTS
HG 4529 / L38I 2009