Download or read book Investment Performance Measurement written by Bruce J. Feibel and published by John Wiley & Sons. This book was released on 2003-04-21 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many investment books include a chapter or two on investment performance measurement or focus on a single aspect, but only one book addresses the breadth of the field. Investment Performance Measurement is a comprehensive guide that covers the subjects of performance and risk calculation, attribution, presentation, and interpretation. This information-packed book covers a wide range of related topics, including calculation of the returns earned by portfolios; measurement of the risks taken to earn these returns; measurement of the risk and return efficiency of the portfolio and other indicators of manager skill; and much more. By reviewing both the concepts of performance measurement and examples of how they are used, readers will gain the insight necessary to understand and evaluate the management of investment funds. Investment Performance Measurement makes extensive use of fully worked examples that supplement formulas and is a perfect companion to professional courses and seminars for analysts. Bruce J. Feibel, CFA, is Product Manager at Eagle Investment Systems, an investment management software provider located in Newton, Massachusetts. He is responsible for overseeing the development of Eagle's investment performance measurement, attribution, and AIMR/GIPS compliance software. Prior to joining Eagle, Mr. Feibel was a principal at State Street Global Advisors. He earned his BS in accounting from the University of Florida.
Download or read book The Handbook of Equity Style Management written by T. Daniel Coggin and published by John Wiley & Sons. This book was released on 2003-04-07 with total page 514 pages. Available in PDF, EPUB and Kindle. Book excerpt: A fully updated guide to equity style management Pioneered by Nobel laureate William Sharpe, equity style management is derived from a correlation analysis of various equity style categories, such as value, growth, small cap, large cap and foreign stocks. In the Third Edition of The Handbook of Equity Style Management, twenty contributors from industry and academia help readers understand various equity style management issues, including equity style indices, different approaches to equity style measurement, foreign stock investing, tactical style management, behavioral aspects of equity style, and equity style benchmarks for manager selection and performance attribution. This updated edition gives readers the rationale behind equity style management, and shows how new strategies can be used to manage risk and improve returns.
Download or read book Portfolio Performance Measurement and Benchmarking Chapter 12 Conditional Performance Evaluation written by Jon A. Christopherson and published by McGraw Hill Professional. This book was released on 2009-05-15 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Staying the Course written by Keith C. Brown and published by . This book was released on 2010 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: While a mutual fund's investment style influences the returns it generates, little is known about how a manager's execution of the style decision affects portfolio performance. Using both returns- and holdings-based techniques to measure the consistency with which managers approach their investment mandates, we demonstrate that, on average, more style-consistent funds significantly outperform less style-consistent funds on a risk-adjusted basis. This result differs from portfolio turnover and expense ratio effects and is robust with respect to the period used to measure future returns. We also show that fund style consistency and the persistence of risk-adjusted performance over time are distinct influences and demonstrate the potential profitability of trading strategies based on their combined impact. We conclude that deciding to maintain a consistent investment style is an important aspect of the portfolio management process.
Download or read book Investment Style and Performance written by Bernhard Breloer and published by . This book was released on 2014 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we study the performance and performance persistence of international equity mutual funds with a focus on fund investment styles. Using a best-fit index methodology, we sort funds yearly based on the style dimensions of size and value/growth, as well as on regional categories (Europe, Pacific and emerging markets). In doing so, we find that (i) the performance of international funds clearly differs regarding style and regional categories, (ii) based on a five-factor alpha, most international style portfolios exhibit performance persistence, and (iii) top performing SMID-cap portfolios and top performing emerging market portfolios show significant and positive alphas. Moreover, using a conditional five-factor alpha as alternative ranking criteria further improves the prediction of future international fund performance.
Download or read book Portfolio Performance Measurement and Benchmarking Chapter 32 Determining Investment Style written by Jon A. Christopherson and published by McGraw Hill Professional. This book was released on 2009-05-15 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Analyzing Style Biases and Performance of Funds written by D. N. Rao and published by . This book was released on 2009 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fund managers adopt a variety of investment styles to offer wide ranging mutual fund plans which give rise to different performance levels. Globally, the size of assets managed, the number and variety of mutual funds has seen exponential growth in the last five years and the mutual industry has become very competitive. The task of today's fund manager has become complex and hence it is no more bundling a few stocks and trying to beat the market. To succeed in the highly competitive market place, a fund manager needs to make a conscious choice with regard to investment style that is consistent with fund objectives.In view of this, the article sets out to illustrate a methodology to identify, develop style measures and analyze the broad investment styles of contemporary fund managers. Based upon the past empirical evidence, the article discusses implications of the nine investment styles upon fund performance leading to generalization of risk-return profile of funds associated with the investment styles.
Download or read book Portfolio Performance Measurement and Benchmarking Chapter 24 Styles Factors and Equity Benchmarks written by Jon A. Christopherson and published by McGraw Hill Professional. This book was released on 2009-05-15 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Multi Asset Class Investment Strategy written by Guy Fraser-Sampson and published by John Wiley & Sons. This book was released on 2006-07-11 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book explains that instead of asset allocation being set in an isolated and arbitrary fashion, it is in fact the way in which specific hurdle investment returns can be targeted, and that this approach is already in use in the US (and has been for many years). It involves extended and detailed financial analysis of various asset class returns and proposes a five-asset class approach for future use. Opening with a study of the historic asset allocation practice of UK pension funds, the book shows how the current approach has led to the present funding crisis. It goes on to compare and contrast the UK approach with that of the US and to propose a new approach to UK asset allocation: the five asset class approach ("MAC Investing"). The book reviews and analyses different asset classes based on historic returns, examines risk, and concludes with a suggestion of the five asset classes to use; Quoted equities (both Domestic and foreign), hedge funds, private equity and property. This book also includes benchmark performance figures never previously published.
Download or read book Portfolio Performance Measurement and Benchmarking Chapter 25 Equity Style Indexes Tools for Better Performance Evaluation and Plan Management written by Jon A. Christopherson and published by McGraw Hill Professional. This book was released on 2009-05-15 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Staying the Course written by Keith C. Brown and published by . This book was released on 2006 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: While a mutual fund's investment style influences the returns it generates, little is known about how a manager's execution of the style decision might affect performance. Using multivariate techniques for measuring the consistency of a portfolio's investment mandate, we demonstrate that more style-consistent funds tend to produce higher total and relative returns than less consistent funds, after controlling for past performance and portfolio turnover. These findings are robust across fund investment style classifications, the return measurement period, and the model used to calculate expected returns. We document a positive relationship between measures of fund style consistency and the persistence of its future performance, net of momentum and past performance effects. We conclude that the decision to maintain a consistent investment style is an important aspect of the portfolio management process.
Download or read book Asset Pricing and Portfolio Performance written by Robert A. Korajczyk and published by . This book was released on 1999 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive reference work presenting an original framework for evaluating observed differences in returns across assets.
Download or read book Portfolio Theory and Performance Analysis written by Noel Amenc and published by John Wiley & Sons. This book was released on 2005-01-21 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: For many years asset management was considered to be a marginal activity, but today, it is central to the development of financial industry throughout the world. Asset management's transition from an "art and craft" to an industry has inevitably called integrated business models into question, favouring specialisation strategies based on cost optimisation and learning curve objectives. This book connects each of these major categories of techniques and practices to the unifying and seminal conceptual developments of modern portfolio theory. In these bear market times, performance evaluation of portfolio managers is of central focus. This book will be one of very few on the market and is by a respected member of the profession. Allows the professionals, whether managers or investors, to take a step back and clearly separate true innovations from mere improvements to well-known, existing techniques Puts into context the importance of innovations with regard to the fundamental portfolio management questions, which are the evolution of the investment management process, risk analysis and performance measurement Takes the explicit or implicit assumptions contained in the promoted tools into account and, by so doing, evaluate the inherent interpretative or practical limits
Download or read book Mutual Funds written by John Haslem and published by John Wiley & Sons. This book was released on 2009-02-09 with total page 592 pages. Available in PDF, EPUB and Kindle. Book excerpt: This authoritative book enables readers to evaluate the variousperformance and risk attributes of mutual funds, while also servingas a comprehensive resource for students, academics, and generalinvestors alike. Avoiding the less useful descriptive approach tofund selection, this book employs a balanced approach includingboth technique and application. The chapters combine clearsummaries of existing research with practical guidelines for mutualfund analysis. Enables readers to analyze mutual funds by evaluating a fund'svarious performance and risk attributes. Includes templates, which provide an efficient, sound approachto fund analysis, interpretation of results, buy/sell decisions,and the timing of decisions. Combines clear summaries of existing research with practicalguidelines for mutual fund analysis.
Download or read book Equity Style Management written by Jess Lederman and published by McGraw-Hill Companies. This book was released on 1995 with total page 538 pages. Available in PDF, EPUB and Kindle. Book excerpt: Equity Style Management is the new frontier in institutional money management. This handbook explains every aspect of this dynamic area, from the various types of investment styles (value, growth, small cap, large cap, etc.) and style selection criteria to the implementation of a style-based approac
Download or read book What Works on Wall Street written by James P. O'Shaughnessy and published by McGraw Hill Professional. This book was released on 2005-06-14 with total page 366 pages. Available in PDF, EPUB and Kindle. Book excerpt: "A major contribution . . . on the behavior of common stocks in the United States." --Financial Analysts' Journal The consistently bestselling What Works on Wall Street explores the investment strategies that have provided the best returns over the past 50 years--and which are the top performers today. The third edition of this BusinessWeek and New York Times bestseller contains more than 50 percent new material and is designed to help you reshape your investment strategies for both the postbubble market and the dramatically changed political landscape. Packed with all-new charts, data, tables, and analyses, this updated classic allows you to directly compare popular stockpicking strategies and their results--creating a more comprehensive understanding of the intricate and often confusing investment process. Providing fresh insights into time-tested strategies, it examines: Value versus growth strategies P/E ratios versus price-to-sales Small-cap investing, seasonality, and more
Download or read book Performance Attribution History and Progress written by Carl R. Bacon and published by CFA Institute Research Foundation. This book was released on 2019-12-23 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
