"Practical Portfolio Performance Measurement and Attribution" by Carl R. Bacon
John Wiley & Sons | 2004 | ISBN: 0470856793 9780470856796| 242 pages | PDF | 2 MB
John Wiley & Sons | 2004 | ISBN: 0470856793 9780470856796| 242 pages | PDF | 2 MB
The purpose of this book is an attempt to provide a reference of the available methodologies and to hopefully provide some consistency in their definition.
Contents
About the Author
Acknowledgements
1 Introduction
2 The Mathematics of Portfolio Return
3 Benchmarks
4 Risk
5 Performance Attribution
6 Performance Presentation Standards
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
with TOC BookMarkLinks