Download or read book Research Portfolio Performance Metrics written by Marjory S. Blumenthal and published by . This book was released on 2019-12-15 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Researchers reviewed metrics for evaluating research portfolios used by medical research organizations and appraised their characteristics. Organizations can use their results to help select, develop, and revise metrics for research portfolios.

Download or read book Practical Portfolio Performance Measurement and Attribution written by Carl R. Bacon and published by John Wiley & Sons. This book was released on 2011-02-23 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: Performance measurement and attribution are key tools in informing investment decisions and strategies. Performance measurement is the quality control of the investment decision process, enabling money managers to calculate return, understand the behaviour of a portfolio of assets, communicate with clients and determine how performance can be improved. Focusing on the practical use and calculation of performance returns rather than the academic background, Practical Portfolio Performance Measurement and Attribution provides a clear guide to the role and implications of these methods in today's financial environment, enabling readers to apply their knowledge with immediate effect. Fully updated from the first edition, this book covers key new developments such as fixed income attribution, attribution of derivative instruments and alternative investment strategies, leverage and short positions, risk-adjusted performance measures for hedge funds plus updates on presentation standards. The book covers the mathematical aspects of the topic in an accessible and practical way, making this book an essential reference for anyone involved in asset management.

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 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 Performance Measurement and Benchmarking written by Jon A. Christopherson and published by McGraw Hill Professional. This book was released on 2009-08-05 with total page 482 pages. Available in PDF, EPUB and Kindle. Book excerpt: In order to make sound investment choices, investors must know the projected return on investment in relation to the risk of not being paid. Benchmarks are excellent evaluators, but the failure to choose the right investing performance benchmark often leads to bad decisions or inaction, which inevitably results in lost profits. The first book of its kind, Portfolio Performance Measurement and Benchmarking is a complete guide to benchmarks and performace evaluation using benchmarks. In one inclusive volume, readers get foundational coverage on benchmark construction, as well as expert insight into specific benchmarks for asset classes and investment styles. Starting with the basics—such as return calculations and methods of dealing with cash flows—this thorough book covers a wide variety of performance measurement methodologies and evaluation techniques before moving into more technical material that deconstructs both the creation of indexes and the components of a desirable benchmark. Portfolio Performance Measurement and Benchmarking provides detailed coverage of benchmarks for: U.S. equities Global and international equities Fixed income Real estate The team of renowned authors offers illuminating opinions on the philosophy and development of equity indexes, while highlighting numerous mechanical problems inherent in building benchmarks and the implications of each one. Before you make your next investment, be certain your return will be worth the risk with Portfolio Performance Measurement and Benchmarking.

Download or read book Portfolio Performance Evaluation written by George O. Aragon and published by Now Publishers Inc. This book was released on 2008 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book The Complete Guide to Portfolio Performance written by Georges Hubner and published by John Wiley & Sons. This book was released on 2024-06-04 with total page 1095 pages. Available in PDF, EPUB and Kindle. Book excerpt: An intuitive and effective desk reference for performance measurement in asset and wealth management In The Complete Guide to Portfolio Performance: Appraise, Analyse, Act, a team of finance professors with extended practical experience deliver a hands-on desk reference for asset and wealth managers suitable for everyday use. Intuitively organized and full of concrete examples of the real-world implementation of the concepts discussed within, the book provides a comprehensive coverage of all important portfolio performance matters across 18 chapters of actionable and clearly described content. The authors have provided relevant cross-referencing where appropriate, “Key Takeaways and Equations” sections at the end of each chapter, and pointers to additional resources for anyone interested in pursuing further research. You'll also find: Discussions of more than a hundred classical and modern performance measures organized logically and with a focus on their applications Strategies for selecting appropriate performance measures based on your situation as a manager or investor Explanations of analytical techniques (statistical approaches, attribution, fund ratings...) enabling a comprehensive use of performance-related information Applications of portfolio performance criteria in concrete investment decision-making processes Highly actionable and logically organized material that's easy to find at a moment's notice A full set of pedagogical powerpoint slides and excel worksheets with all data and formulas Perfect for investors, portfolio managers, advisors, analysts, and regulators, The Complete Guide to Portfolio Performance is also a must-read reference for students and practitioners of asset and wealth management, as well as those pursuing certification such as CFA, CIPM, CIIA, and CAIA.

Download or read book How Useful Is the Information Ratio to Evaluate the Performance of Portfolio Managers written by Christoph Schneider and published by Diplomica Verlag. This book was released on 2010 with total page 101 pages. Available in PDF, EPUB and Kindle. Book excerpt: The idea of comparing the performance of different risky investments, for example investment funds, on a quantitative basis dates back to the beginnings of the asset management industry and has been an important field of research in finance since then. Performance measures serve as valuable quantitative evidence for the portfolio manager's performance as well as for the evaluation of investment decisions ex post. Based on the idea of the capital asset pricing model proposed by Treynor, Sharpe and Lintner, Treynor developed the first quantitative performance measure intended to rate mutual funds, the Treynor Ratio. Since then, a large number of performance measures with very different characteristics have been developed. In addition to their power of rating investments ex post, their ability to predict future performance has been thoroughly analyzed by Grinblatt & Titman, Brown & Goetzmann, Carhart and others. Besides academia, the driving force behind the development of more sophisticated performance measures has always been the investors. This is understandable, as "the truly poor managers are afraid, the unlucky managers will be unjustly condemned, and the new managers have no track record. Only the skilled (or lucky) managers are enthusiastic." By combining and applying the results of previous research to a new sample of nearly 10,000 mutual funds that invest in different countries and asset classes, this thesis clarifies its central research question: Is the Information Ratio a useful and reliable performance measure? In order to answer this central question, it has been split up into the following sub-parts: What are the characteristics of a useful and reliable performance measure? What actually is "good" performance? Is the "good" performance a result of luck or of skilled decisions and does it persist over time? How does the Information Ratio compare to other performance measures, and what are its strengths and weaknesses? This empirical study aims at answeri

Download or read book Portfolio Performance Meaurement and Benchmarking Fixed Income Risk written by Jon A. Christopherson and published by McGraw Hill Professional. This book was released on 2009-05-15 with total page 16 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 Portfolio Performance Measurement and Benchmarking Chapter 26 Russell Style Index Methodology written by Jon A. Christopherson and published by McGraw Hill Professional. This book was released on 2009-05-15 with total page 15 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 Investment Portfolio Selection and Performance Measurement written by Patrick Daum and published by GRIN Verlag. This book was released on 2012-05-14 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Investment Performance Measurement written by Philip Lawton, CIPM and published by John Wiley & Sons. This book was released on 2009-05-18 with total page 984 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment Performance Measurement Over the past two decades, the importance of measuring, presenting, and evaluating investment performance results has dramatically increased. With the growth of capital market data services, the development of quantitative analytical techniques, and the widespread acceptance of Global Investment Performance Standards (GIPS®), this discipline has emerged as a central component of effective asset management and, thanks in part to the Certificate in Investment Performance Measurement (CIPM) program, has become a recognized area of specialization for investment professionals. That's why Investment Performance Measurement: Evaluating and Presenting Results the second essential title in the CFA Institute Investment Perspectives series has been created. CFA Institute has a long tradition of publishing content from industry thought leaders, and now this new collection offers unparalleled guidance to those working in the rapidly evolving field of investment management. Drawing from the Research Foundation of CFA Institute, the Financial Analysts Journal, CFA Institute Conference Proceedings Quarterly, CFA Magazine, and the CIPM curriculum, this reliable resource taps into the vast store of knowledge of some of today's most prominent thought leaders from industry professionals to respected academics who have focused on investment performance evaluation for a majority of their careers. Divided into five comprehensive parts, this timely volume opens with an extensive overview of performance measurement, attribution, and appraisal. Here, you'll become familiar with everything from the algebra of time-weighted and money-weighted rates of return to the objectives and techniques of performance appraisal. After this informative introduction, Investment Performance Measurement moves on to: Provide a solid understanding of the theoretical grounds for benchmarking and the trade-offs encountered during practice in Part II: Performance Measurement Describe the different aspects of attribution analysis as well as the determinants of portfolio performance in Part III: Performance Attribution Address everything from hedge fund risks and returns to fund management changes and equity style shifts in Part IV: Performance Appraisal Recount the history and explain the provisions of the GIPS standards with attention paid to the many practical issues that arise in the course of its implementation in Part V: Global Investment Performance Standards Filled with invaluable insights from more than fifty experienced contributors, this practical guide will enhance your understanding of investment performance measurement and put you in a better position to present and evaluate results in the most effective way possible.

Download or read book Evaluation and Measurement of Investment Performance written by Institute of Chartered Financial Analysts and published by . This book was released on 1977 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Decision Making Recent Developments and Worldwide Applications written by Stelios H. Zanakis and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 484 pages. Available in PDF, EPUB and Kindle. Book excerpt: This chapter describes a study conducted at the Swinburne University of Technology in Australia, in their School of Business. The study was to explore the applicability of a judgment-analytic decision support system to the assessment of the likelihood of an applicant being selected for admission to the School's Graduate Certificate in Business Administration (GCBA) program. The likelihood of a program administrator selecting a particular applicant is directly linked to the assessment of the likelihood of that applicant's success in the GCBA program. The purpose of this study, in effect, was to analyze the administrative judgment process in assessment of an applicant's likelihood of success in the program. THE PROCESS OF HUMAN JUDGMENT Human judgment is a process through which an individual uses social infonnation to make decisions. The social infonnation is obtained from an individual's environment and is interpreted through the individual's cognitive image of the environment. The. cognitive image provides a representation of the environment based on past experiences and training, and essentially predisposes the person to respond to social infonnation in predictable ways. An individual's policies or beliefs about the environment represent these patterns. Human judgments are based then upon one's interpretation of available infonnation. They are probability statements about one's environment and how one reacts to it. This condition leads to the human judgment process being inherently limited. It is fundamentally a covert process. It is seldom possible for an individual to accurately describe his or her judgment process accurately.

Download or read book Portfolio Performance Measurement and Benchmarking Chapter 21 Elements of a Desirable Benchmark written by Jon A. Christopherson and published by McGraw Hill Professional. This book was released on 2009-05-15 with total page 20 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 Performance Measures for Dynamic Portfolio Management written by Lars Tyge Nielsen and published by . This book was released on 1998 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Portfolio Decision Analysis written by Ahti Salo and published by Springer Science & Business Media. This book was released on 2011-08-12 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio Decision Analysis: Improved Methods for Resource Allocation provides an extensive, up-to-date coverage of decision analytic methods which help firms and public organizations allocate resources to 'lumpy' investment opportunities while explicitly recognizing relevant financial and non-financial evaluation criteria and the presence of alternative investment opportunities. In particular, it discusses the evolution of these methods, presents new methodological advances and illustrates their use across several application domains. The book offers a many-faceted treatment of portfolio decision analysis (PDA). Among other things, it (i) synthesizes the state-of-play in PDA, (ii) describes novel methodologies, (iii) fosters the deployment of these methodologies, and (iv) contributes to the strengthening of research on PDA. Portfolio problems are widely regarded as the single most important application context of decision analysis, and, with its extensive and unique coverage of these problems, this book is a much-needed addition to the literature. The book also presents innovative treatments of new methodological approaches and their uses in applications. The intended audience consists of practitioners and researchers who wish to gain a good understanding of portfolio decision analysis and insights into how PDA methods can be leveraged in different application contexts. The book can also be employed in courses at the post-graduate level.