Portfolio performance measurement and benchmarking:
Gespeichert in:
| Beteiligte Personen: | , , |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
New York [u.a.]
McGraw-Hill
2009
|
| Schriftenreihe: | McGraw-Hill finance & investing
|
| Schlagwörter: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017715480&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Umfang: | XII, 466 S. graph. Darst. 24 cm |
| ISBN: | 9780071496650 0071496653 |
Internformat
MARC
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| 245 | 1 | 0 | |a Portfolio performance measurement and benchmarking |c Jon A. Christopherson ; David R. Cariño ; Wayne E. Ferson |
| 264 | 1 | |a New York [u.a.] |b McGraw-Hill |c 2009 | |
| 300 | |a XII, 466 S. |b graph. Darst. |c 24 cm | ||
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Datensatz im Suchindex
| _version_ | 1819251745805565952 |
|---|---|
| adam_text | Titel: Portfolio performance measurement and benchmarking
Autor: Christopherson, Jon A.
Jahr: 2009
CONTENTS
Preface xi
Chapter 1
What Is Performance and Benchmarking? 1
The Basic Issue: Has Your Wealth Increased? 1
Was the Change in Wealth Worth the Risk? 2
Comparing Return with Alternative Investment Returns
Active Investing versus Passive Investing 4
Performance Attribution 5
Chapter 2
Asset Class Return Expectations 7
The Expected Range of Returns from Different Kinds
of Investments 7
What Range of Values Is Likely to Be Encountered? 8
Chapter 3
Returns Without Cash Flows 13
Portfolio Market Value 13
Holding Period Return 14
Linking Returns 15
Rule of 72 17
Chapter 4
Average Returns 19
Average Return Per Period 19
Annualized Return 21
Compounding Frequency 22
Expected Return 24
Chapter 5
Returns in the Presence of Cash Flows 27
Cash Flows 27
Unit Value Method 28
Contents
Time-Weighted Return 30
Linked Internal Rate of Return 33
The Dietz Method 36
Subportfolio Returns and Consistency 38
Time-Weighted versus Money-Weighted Returns 40
Chapter 6
Comparing Two Portfolio Returns 47
Excess Returns Over a Benchmark—Past Performance 48
Compound Excess Return 51
Situations Where the Arithmetic Excess Return Is the Appropriate
Choice 53
Recommended Practice 55
Chapter 7
Some Foundations 57
The Risk-Free Rate 57
Market Equilibrium 59
The CAPM of Sharpe, Lintner, and Mossin 60
Arbitrage Pricing Theory (APT) and Other Asset Pricing Models 65
Chapter 8
Estimating the Elements of the CAPM 67
The CAPM with Constant Alpha and Beta Over Time 67
Problems with the Use of Inappropriate Benchmarks 69
Other Estimation Problems 71
Chapter 9
What Is Risk? 79
Types of Risk 79
A Basic Measure of Risk as Volatility in Returns 81
Measuring Bad Variation 84
Covariance 88
Tracking Error and Residual Risk 90
Chapter 10
Risk-Adjusted Return Measures 93
Sharpe Ratio 94
Sortino Ratio 96
Contents
Modigliani-Modigliani Measure 97
Jensen s Alpha 99
Treynor s Measure 100
Appraisal Ratio and Information Ratio 101
Comparing the Risk-Adjusted Measures 102
Chapter 11
Fixed-Income Risk 105
Duration: Macaulay, Modified, and Effective Duration 107
Convexity 111
Prepayment Risk for Mortgages and Callables 113
Issuer-specific Risk, Default Risk, and Correlated Default Risk 114
Chapter 12
Conditional Performance Evaluation 117
Models for Performance Measurement 119
Logic of Conditional Performance Evaluation 119
Unconditional Alphas and Betas 121
Time-Varying Conditional Betas 122
Time-Varying Conditional Alphas 123
Benchmark Portfolios 125
Implications for Investors 126
Chapter 13
Market Timing 127
Merton-Henriksson Market Timing Model 127
Treynor-Mazuy Model 129
Up/Down Market Model: Up Market versus
Down Market Beta 133
The Problem of Non-Timing-Related Nonlinearities 133
Chapter 14
Factor Models 137
The Single Index Model 137
Multiple Factor Models 138
Factor Model Analytics 140
A Simple Example 141
Contents
Chapter 15
Factors of Equity Returns in the United States 147
Various Factor Model Factors 147
The Barra Factors 150
Factor-Mimicking Portfolios: High-Low Approach
and Factor Extraction Approach 154
Chapter 16
Factor Model (Barra) Performance Attribution 157
Attribution Executive Summary 158
Total Annualized Attribution Chart 160
Annual Attribution Report 162
Annualized Contributions to Risk Indexes 164
Industries: Top-10 and Bottom-10 Contributors to Active Return 166
Asset Selection: Annualized Attribution 169
Chapter 17
Contributions to Return 171
Chapter 18
Performance Attribution 177
Sector-Based Attribution Framework 178
Single-Period Arithmetic Sector-Based Attribution 182
Chapter 19
Linking Attribution Effects 191
Multiperiod Contributions to Return 192
Excess Return Recursion 197
An Idealized Attribution System 199
Logarithmic Linking Coefficients 202
A Link to Recursive Methods 204
Other Methods 205
Example 207
Other Topics 210
Notes 212
References 213
Contents
Chapter 20
Benchmarks and Knowledge 215
Peer Universes 216
Passive Market Indexes 221
Manager-Specific Stock-Matching Benchmark: Normal Portfolios 223
For What Should a Manager Be Given Credit? 228
Chapter 21
Elements of a Desirable Benchmark 231
Origins of U.S. Equity Benchmarks 231
The Fundamental Meaning and Purposes of a Financial Index 233
Where You Stand on the Best Indexes Depends on Where You Sit 235
The Best Index Is Based on Four Principles of Useful Indexes 238
Desirability Trade-Offs 241
Issues with Index Construction 243
The Paradox of Asset Management 245
Chapter 22
Index Weighting 247
Advantages and Disadvantages of Capitalization Weighting 248
Portfolio Equity Characteristics: Capitalization Weighting versus Equal
Weighting 251
Challenges to Capitalization Weighting 253
Chapter 23
Practical Issues with Building Indexes 259
Index Calculations 259
Decisions That Have to Be Made by the Index Creator 264
Russell U.S. Equity Index Construction 266
Chapter 24
Styles, Factors, and Equity Benchmarks 275
Defining Equity Style 275
Types of Equity Styles 278
Evidence of Styles 284
Historical Perspective on Styles 286
CAPM, Factor Models, and the Behavior of Styles 287
Which Equity Style Is Best? 288
Contents
Chapter 25
Equity Style Indexes: Tools for Better Performance Evaluation
and Plan Management 293
Introduction 293
Style Definitions 294
Performance Evaluation and Styles 296
Style Index Construction 299
Validation of Style Indexes 302
Uses of the Style Indexes 308
Conclusion 311
Chapter 26
Russell Style Index Methodology 313
Style Index Algorithm 314
Rationale for Key Features 320
Chapter 27
U.S. Equity Benchmarks 325
S P and S P/Citigroup Family of Indexes 326
Dow Jones Indexes 328
Russell Indexes 329
MSCI Family of Indexes 331
CRSP Composite and Decile Indexes 333
Other Indexes: NYSE and NASDAQ Indexes 334
Comparing Index Construction Issues 335
Index Comparisons 340
Conclusion 346
Chapter 28
Global and International Equity Benchmarks 347
Global versus International 347
MSCI Index Family 350
Dow Jones Global Indexes 353
S P/Citigroup Global Indexes 354
FTSE Index Family 357
Russell / Nomura Indexes 359
Russell Global Indexes 363
Conclusion 371
Contents
Chapter 29
Fixed-Income Benchmarks 373
Fixed-Income Benchmark Construction Difficulties 373
Barclays Capital Family of Global Fixed-Income Indexes 377
Merrill Lynch Fixed-Income Index Family 383
J.R Morgan Family of Fixed-Income Indexes 385
Chapter 30
Real Estate Benchmarks 387
Real Estate Index Construction Issues 388
Private Real Estate Indexes 400
Publicly Traded Real Estate Security Indexes 403
Chapter 31
Hedge Fund Universes 409
Hedge Funds as Absolute Return Strategies 409
Hedge Fund Indexes 412
Building a Good Hedge Fund Index 412
Inherent Problems with Universes of Hedge Funds 414
Available Hedge Fund Indexes 416
Chapter 32
Determining Investment Style 421
Approaches to the Style Classification Problem 422
Effective Mix: A Returns-Based Methodology 426
Effective Mix Limitations and Maximizing Usefulness 433
Conclusion 448
Chapter 33
GIPS: Global Investment Performance Standards 449
The Reason for GIPS 449
Overview of GIPS 451
Index 453
|
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| id | DE-604.BV035661048 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T13:40:01Z |
| institution | BVB |
| isbn | 9780071496650 0071496653 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-017715480 |
| oclc_num | 370669990 |
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| physical | XII, 466 S. graph. Darst. 24 cm |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | McGraw-Hill |
| record_format | marc |
| series2 | McGraw-Hill finance & investing |
| spellingShingle | Christopherson, Jon A. Cariño, David R. Ferson, Wayne E. 1951- Portfolio performance measurement and benchmarking Methode (DE-588)4038971-6 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
| subject_GND | (DE-588)4038971-6 (DE-588)4115601-8 |
| title | Portfolio performance measurement and benchmarking |
| title_auth | Portfolio performance measurement and benchmarking |
| title_exact_search | Portfolio performance measurement and benchmarking |
| title_full | Portfolio performance measurement and benchmarking Jon A. Christopherson ; David R. Cariño ; Wayne E. Ferson |
| title_fullStr | Portfolio performance measurement and benchmarking Jon A. Christopherson ; David R. Cariño ; Wayne E. Ferson |
| title_full_unstemmed | Portfolio performance measurement and benchmarking Jon A. Christopherson ; David R. Cariño ; Wayne E. Ferson |
| title_short | Portfolio performance measurement and benchmarking |
| title_sort | portfolio performance measurement and benchmarking |
| topic | Methode (DE-588)4038971-6 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
| topic_facet | Methode Portfoliomanagement |
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