Lanterna Rally
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Asset Pricing and Portfolio Performance
Author: Robert A. Korajczyk
Publisher:
Published: 1999
Total Pages: 424
ISBN-13:
DOWNLOAD EBOOK →A comprehensive reference work presenting an original framework for evaluating observed differences in returns across assets.
Portfolio Performance Measurement and Benchmarking, Chapter 7 - Some Foundations
Author: Jon A. Christopherson
Publisher: McGraw Hill Professional
Published: 2009-05-15
Total Pages: 14
ISBN-13: 0071733132
DOWNLOAD EBOOK →Here is a chapter from Portfolio Performance Measurement and Benchmarking, which will help you create a system you can use to accurately measure your performance. The authors highlight common mechanical problems involved in building benchmarks and clearly illustrate the resulting fallouts. The failure to choose the right investing performance benchmarks often leads to bad decisions or inaction and, inevitably, lost profits. In this book you will discover a foundation for benchmark construction and discuss methods for all different asset classes and investment styles.
Investment Analysis and Portfolio Management
Author: Frank K. Reilly
Publisher:
Published: 2006
Total Pages: 1174
ISBN-13: 9780324405897
DOWNLOAD EBOOK →Written by a widely respected author team, this investments text takes an empirical approach to explaining current, real-world practice. Providing the most comprehensive coverage available, the text emphasizes investment alternatives and teaches students how to analyze these choices and manage their portfolios.
Portfolio Performance Meaurement and Benchmarking: Fixed-Income Risk
Author: Jon A. Christopherson
Publisher: McGraw Hill Professional
Published: 2009-05-15
Total Pages: 16
ISBN-13: 0071733167
DOWNLOAD EBOOK →Here is a chapter from Portfolio Performance Measurement and Benchmarking, which will help you create a system you can use to accurately measure your performance. The authors highlight common mechanical problems involved in building benchmarks and clearly illustrate the resulting fallouts. The failure to choose the right investing performance benchmarks often leads to bad decisions or inaction and, inevitably, lost profits. In this book you will discover a foundation for benchmark construction and discuss methods for all different asset classes and investment styles.
Portfolio Performance Measurement and Benchmarking, Chapter 12 - Conditional Performance Evaluation
Author: Jon A. Christopherson
Publisher: McGraw Hill Professional
Published: 2009-05-15
Total Pages: 14
ISBN-13: 0071733183
DOWNLOAD EBOOK →Here is a chapter from Portfolio Performance Measurement and Benchmarking, which will help you create a system you can use to accurately measure your performance. The authors highlight common mechanical problems involved in building benchmarks and clearly illustrate the resulting fallouts. The failure to choose the right investing performance benchmarks often leads to bad decisions or inaction and, inevitably, lost profits. In this book you will discover a foundation for benchmark construction and discuss methods for all different asset classes and investment styles.
Portfolio Performance Measurement and Benchmarking, Chapter 13 - Market Timing
Author: Jon A. Christopherson
Publisher: McGraw Hill Professional
Published: 2009-05-15
Total Pages: 14
ISBN-13: 0071733191
DOWNLOAD EBOOK →Here is a chapter from Portfolio Performance Measurement and Benchmarking, which will help you create a system you can use to accurately measure your performance. The authors highlight common mechanical problems involved in building benchmarks and clearly illustrate the resulting fallouts. The failure to choose the right investing performance benchmarks often leads to bad decisions or inaction and, inevitably, lost profits. In this book you will discover a foundation for benchmark construction and discuss methods for all different asset classes and investment styles.
Portfolio Performance Evaluation
Author: George O. Aragon
Publisher: Now Publishers Inc
Published: 2008
Total Pages: 123
ISBN-13: 1601980825
DOWNLOAD EBOOK →This paper provides a review of the methods for measuring portfolio performance and the evidence on the performance of professionally managed investment portfolios. Traditional performance measures, strongly influenced by the Capital Asset Pricing Model of Sharpe (1964), were developed prior to 1990. We discuss some of the properties and important problems associated with these measures. We then review the more recent Conditional Performance Evaluation techniques, designed to allow for expected returns and risks that may vary over time, and thus addressing one major shortcoming of the traditional measures. We also discuss weight-based performance measures and the stochastic discount factor approach. We review the evidence that these newer measures have produced on selectivity and market timing ability for professional managed investment funds. The evidence includes equity style mutual funds, pension funds, asset allocation style funds, fixed income funds and hedge funds.
Performance Attribution: History and Progress
Author: Carl R. Bacon
Publisher: CFA Institute Research Foundation
Published: 2019-12-23
Total Pages: 68
ISBN-13: 1944960902
DOWNLOAD EBOOK →The objective of performance attribution is to explain portfolio performance relative to a benchmark, identify the sources of excess return, and relate those sources to active decisions by the portfolio manager. This review charts the development of attribution from its beginning with Fama decomposition in the 1970s, through its foundations in the 1980s, into its issues of multiperiod and multicurrency attribution in the 1990s, and ending on its more detailed models for fixed-income and risk-adjusted attribution in recent years. Types of attribution (including returns based, holdings based, and transaction based) are also discussed as is money-weighted attribution and developments associated with notional funds.
Investment Portfolio Selection and Performance Measurement
Author: Patrick Daum
Publisher: GRIN Verlag
Published: 2012-05-14
Total Pages: 23
ISBN-13: 3656190577
DOWNLOAD EBOOK →Seminar paper from the year 2011 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3, South Bank University London (Business Faculty), course: Fondmanagement , language: English, abstract: Die Arbeit legt die Portfoliotheorie an Hand eine praktischen Beispiels dar. Auf der Basis von 10 Stocks aus dem FTSE 100 wird das optimale Portfolio errechnet und dessen Performance eingeordnet. ++++ According Warren Buffett, financial investors should never purchase a security, if they cannot accept that the value might be cut in half (Schömann-Finck, 2010). One of the most successful global investors has illustrated with this quote the risks involved in the business of financial investments. In order to optimize risk-return tradeoffs, scientific research has developed efficient diversification techniques. This paper examines the process of portfolio diversification based on a sample of 10 randomly selected securities. First the optimal portfolio is identified in order to evaluate its performance against the market trend via industry accepted benchmarking comparison tools in a second step. Finally, potential portfolio gains, achieved via diversification across additional asset classes, are discussed and evaluated. According to Bodie et al. (2008) the investment decision process can be separated into three major steps (see figure 1): Capital Allocation, Asset Allocation and Security Selection. For the purpose of this paper 100% of the available funds are assumed to be allocated into stocks. The portfolio created (see figure 2) consists of 10 randomly selected securities taken from the FTSE 100 index.
