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Practical Portfolio Performance Measurement and Attribution de Carl R. Bacon

Practical Portfolio Performance Measurement and Attribution

Autor Carl R. Bacon
en Limba Engleză Hardback – 26 ian 2023

Ceea ce diferențiază Practical Portfolio Performance Measurement and Attribution de tratatele academice rigide este ancorarea sa brutal de onestă în realitatea operațională a firmelor de administrare a activelor. Ne-a atras atenția modul în care Carl R Bacon elimină zgomotul teoretic pentru a oferi un manual de utilizare a datelor financiare, transformând calculele matematice în instrumente de decizie strategică. Dacă Investment Performance Measurement de BJ Feibel v-a oferit cadrul teoretic și o privire de ansamblu asupra procesului, volumul de față furnizează instrumentele practice și algoritmii necesari pentru implementarea unui sistem de atribuire robust. Suntem de părere că valoarea adăugată a acestei a treia ediții constă în acoperirea exhaustivă a noilor standarde GIPS® 2020 și în extinderea analizei către active alternative. Structura cărții este concepută pentru a ghida cititorul printr-o progresie logică a complexității. Începând cu fundamentul matematic al randamentelor (Money-weighted vs. Time-weighted), cuprinsul avansează rapid spre specificul claselor de active — de la acțiuni și obligațiuni, până la instrumente derivate și strategii de tip overlay. Merită menționat că autorul nu se limitează la prezentarea formulelor; el explică „de ce”-ul din spatele fiecărei metodologii de atribuire, oferind cititorului capacitatea de a interpreta corect comportamentul portofoliului. Prin utilizarea exemplelor de calcul susținute de fișiere Excel, Carl R Bacon reușește să demistifice procesul de control al riscului și să ofere analiștilor un set de competențe imediat aplicabile în raportarea și îmbunătățirea performanței investiționale.

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Specificații

ISBN-13: 9781119831945
ISBN-10: 1119831946
Pagini: 560
Dimensiuni: 253 x 180 x 39 mm
Greutate: 1.16 kg
Ediția:3. Auflage
Editura: John Wiley & Sons, Inc.
Locul publicării:Chichester, United Kingdom

De ce să citești această carte

Această carte este indispensabilă analiștilor de performanță și managerilor de portofoliu care au nevoie de o metodologie clară pentru a explica sursele randamentului. Veți câștiga o înțelegere profundă a standardelor GIPS® și, mai important, veți învăța să construiți modele de atribuire precise. Este un ghid de execuție care transformă datele brute în indicatori de performanță relevanți pentru clienți și autorități de reglementare.

Despre autor

Carl R Bacon este o autoritate recunoscută la nivel mondial în domeniul standardelor de performanță a investițiilor și al măsurării riscului. Cu o experiență vastă în prima linie a industriei financiare, a servit ca Director de Performance Measurement & Risk Control, acumulând o expertiză practică ce transpare în fiecare pagină a lucrărilor sale. Este un membru activ în comitetele care definesc standardele globale de profil și autorul mai multor volume de referință publicate de Wiley, fiind apreciat pentru capacitatea de a simplifica concepte matematice complexe fără a le știrbi rigoarea.

Cuprins

Contents Acknowledgements Contents Chapter 1 Introduction The Performance Measurement Process Role of performance analysts Book Structure Chapter 2 The Asset Management Industry Asset Classes Public Equities Bonds (or Fixed Income) Cash (and near cash) Private Assets Real Estate Private Equity Private Debt Infrastructure Natural Resources Commodities Derivatives Futures Forwards Swaps Contracts for Difference (CFD) Options Overlay Strategies Currency Hedge Funds Asset Allocation Strategic asset allocation Tactical asset allocation. Chapter 3 The Mathematics of Portfolio Return Simple Return Continuously Compounded (or logarithmic) Returns Money-weighted Returns (MWR) Internal Rate of Return (IRR) Ex-ante Internal Rate of Return Simple Internal Rate of Return Ex-post Internal Rate of Return Simple Dietz ICAA Method Modified Dietz Time-Weighted Returns (TWR) True Time-Weighted Unit Price Method Unit Price Method with Distributions Time-weighted versus Money-weighted Rates of Return Approximations to the Time Weighted Return Index Substitution Regression Method (or b method) Analyst's Test Hybrid Methodologies Linked Modified Dietz BAI Method (or linked IRR) Which method to use? Late Trading and Market Timing Self-selection Large Cash Flow Self-selection of methodologies Annualised Returns Since Inception Internal Rate of Return (SI-IRR) Modified IRR (MIRR) Return Hiatus Gross and net of fee calculations Estimating gross and net of fee returns Initial Fees Performance Fees Asymmetric or Symmetric Crystallisation Performance Fees in Practice Equalization Reporting Hierarchy Overlay Strategies Overlay performance return calculations: Base currency and local returns Currency conversions Hedged Returns Currency Overlay Returns Perfectly Hedged Returns Portfolio Component Returns Money-weighted Component Returns End of day Beginning of day Intra-day weighted Differentiated Actual Time Rule-based Extremely large cash flows Which timing assumption to use for time-weighted returns? Carve Outs Sub-portfolios Cash Sectors Individual security returns Multi-period component returns Abnormal Returns Short Positions Contribution to return Composite returns Chapter 4 Benchmarks Benchmarks Benchmark attributes The Role of Benchmarks Types of Benchmarks Commercial Indexes Calculation methodologies Aggregate Price Index (Price-weighted Index or Carli type) Geometric (or Jevons type) Index Market Capitalisation Index Laspeyres Index Paasche Index Marshall - Edgeworth Index Fisher Index Equal weighted Indexes Fundamental Indexes Optimised Indexes (efficient or minimum variance indexes) Fixed Income Indexes Index Providers Choice of Index Provider Benchmark Regulation Choice of Index Currency Effects in Benchmark Hedged Indexes Customised Indexes Capped Indexes Peer Groups and Universes Percentile Rank Random Portfolios Exchange Traded Funds (ETFs) Target Returns Blended Benchmarks (or balanced benchmarks) Fixed Weight & Dynamised Benchmarks Spliced Indexes Money-weighted Benchmarks (or public market equivalents) Normal Portfolio Benchmark Statistics Index Turnover Up-capture Indicator Down-capture Indicator Up-number Ratio Down-number Ratio Up-percentage Ratio Down-percentage Ratio Percentage Gain Ratio Excess return Arithmetic Excess Return Geometric Excess Return Chapter 5 Risk Definition of Risk Risk types Risk management v Risk control Risk aversion Ex-post and ex-ante Descriptive Statistics Mean (or arithmetic mean) Mean absolute deviation (or mean deviation) Variance Bessel's correction (population or sample, n or n-1) Sample variance Standard deviation (variability or volatility) Annualised risk (or time aggregation) The Central Limit Theorem Frequency and number of data points Normal (or Gaussian) distribution Histograms Skewness (Fisher's or moment skewness) Sample skewness Kurtosis (Pearson's kurtosis) Excess kurtosis (or Fisher's kurtosis) Sample kurtosis Bera-Jarque statistic (or Jarque-Bera) Covariance Sample covariance Correlation (r) Sample correlation Performance appraisal Sharpe ratio (reward to variability, Sharpe index) Roy ratio Risk-free rate Alternative Sharpe ratio Revised Sharpe ratio Adjusted Sharpe Ratio Skew-adjusted Sharpe Ratio Relative risk Tracking error (or tracking risk, relative risk, active risk) Information ratio Geometric information ratio Modified information ratio Regression analysis Regression equation Regression alpha Regression beta Regression epsilon Capital Asset Pricing Model (CAPM) Beta (b) (systematic risk or volatility) Jensen's alpha (Jensen's measure or Jensen's differential return or ex-post alpha) Annualised alpha Bull beta (b+) Bear beta (b-) Beta timing ratio Market timing Systematic risk Correlation R²(or coefficient of determination) Specific (or residual) risk Treynor ratio (Reward to volatility) Appraisal ratio (or Treynor-Black ratio) Factor Models Fama decomposition Selectivity Diversification Net selectivity Fama-French three factor model Three factor alpha (or Fama-French alpha) Carhart four factor model Four factor alpha (or Carhart's alpha) Multi-factor Models Drawdown Average drawdown Maximum drawdown Largest individual drawdown Recovery time (or drawdown duration) Drawdown deviation Ulcer index Pain index Calmar ratio (or Drawdown ratio) MAR ratio Sterling ratio Sterling-Calmar ratio Burke ratio Modified Burke ratio Martin ratio (or Ulcer performance index) Pain ratio Partial Moments Downside risk (or semi-standard deviation) Downside potential Pure downside risk Half variance (or semi-variance) Upside risk (or upside uncertainty) Mean absolute moment Omega ratio (W) Bernardo & Ledoit (or gain-loss) ratio d ratio Omega-Sharpe ratio Sortino ratio Reward to half-variance Downside risk Sharpe ratio Sortino-Satchell ratio Kappa ratio Upside potential ratio Volatility skewness Variability skewness Farinelli-Tibiletti Ratio Prospect ratio Fixed Income Risk Pricing fixed income instruments Redemption yield (yield to maturity) Weighted average cash flow Duration (effective mean term, discounted mean term or volatility) Macaulay duration Macaulay-Weil duration Modified duration Portfolio duration Effective duration (or option-adjusted duration) Duration to worst Convexity Modified convexity Effective convexity Portfolio convexity Bond returns Duration beta Reward to duration Miscellaneous Risk Measures Hurst index (or Hurst exponent) Bias ratio Active Share Value at Risk (VaR) Risk-adjusted return M² M² excess return Differential return Adjusted M² Skew-adjusted M² Types of Excess Return (or Alpha) A Periodic Table of Risk Measures Periodic Table Design Why measure ex-post risk? Which risk measures to use? Hedge funds Smoothing Outliers Data mining Time Period Chapter 6 Return Attribution 280 What is Attribution? Definition Attribution as an asset management tool Early Development Types of Return Attribution Returns-based (regression or factor) Attribution Holdings-based (or buy/hold) Attribution Transaction-based Attribution Arithmetic Attribution Brinson, Hood & Beebower Asset Allocation Security (or Stock) Selection Interaction Brinson & Fachler Interaction Geometric Excess Return Attribution Asset allocation Stock selection Sector Weights Frequency of Analysis Security Level Attribution Transaction costs Off-benchmark (or zero weight sector) attribution Attribution consistent with the Investment Decision Process Market Neutral Attribution Attribution for 130/30 funds (or extended short funds) Leverage (or gearing) Attribution including derivatives Attribution including Equity Index Futures Attribution Analysis using options Multi-currency attribution Ankrim & Hensel Karnosky & Singer Geometric Multi-Currency Attribution Naïve Currency Attribution Compounding effects Geometric Currency Allocation Currency Timing Interest Rate Differentials Revised Currency Allocation Revised Country Allocation Incorporating Forward Currency Contracts Summarising Other Currency Issues Fixed Income Attribution The Yield Curve Yield curve analysis Shift Twist (or slope) Curvature (or butterfly) Carry Credit (or spread) Yield Curve Decomposition Wagner & Tito Weighted Duration Attribution Geometric Fixed Income Attribution Campisi Framework Yield Curve Decomposition Multi-period attribution Smoothing Algorithms Carino Menchero Linking Algorithms GRAP Method Frongello Davies & Laker Multi-period Geometric Attribution Annualisation of Excess Return Attribution Annualisation Contribution Analysis (or absolute return attribution) Risk-adjusted Attribution Selectivity Multi-level Attribution Balanced attribution Evolution of performance attribution methodologies Chapter 7 Performance Presentation Standards Why do we need performance presentation standards? Global Investment Performance Standards (GIPS(r)) - A history Advantages for Asset Managers The GIPS Standards Fundamentals of Compliance Definition of the Firm Maintaining Policies and Procedures Providing GIPS Reports Benchmark Selection Correcting Errors in GIPS Reports Composite Descriptions Recordkeeping Linking of theoretical and actual performance Portability Use of time-weighted or money-weighted returns Claiming Compliance with the GIPS standards. Input Data and Calculation Methodology Firm Assets, Composite Assets and Pooled Fund Assets Overlay Exposure Returns Valuation Time-Weighted Returns Money-weighted Returns Net Returns Composite Returns Private Market Investments Real Estate Net-of-fee Carve-outs returns Wrap fee, side pockets and subscription lines of credit Composite and Pooled Fund Maintenance Composite Maintenance Carve-Outs Presentation and Reporting Composite Time-weighted Return Report Returns, Dispersion & Risk Unobservable inputs, gross or net-of-fees, multiple benchmarks, breaks in performance, carve-outs and non-fee-paying portfolios Committed Capital and Advisory Assets Reporting currency, carve-outs, overlay strategies, wrap fees and supplemental information Composite Money-weighted Reports Composite Cumulative Committed Capital Total Value to Since-inception Paid in Capital (TVPI or Multiple of Investment Capital (MOIC) or Investment Multiple) Since-inception Distributions to Since-inception Paid-in Capital (Realisation multiple or DPI) Since-inception Paid-in Capital to cumulative Committed Capital (PIC Multiple) Residual Value to since-Inception Paid-in Capital (Unrealised Multiple or RVPI) Disclosures Claim of Compliance Firm, composite and benchmark definitions Fee disclosures Inception date, creation date, composite lists availability of policies and procedures, leverage and estimated transaction costs. Significant events, redefinition, minimum asset levels and withholding tax Conflicts with regulation, carve-out disclosures & sub-advisors. Benchmark Disclosures Significant cash flow disclosure and material errors. Risk measures, overlay strategy, real estate valuation and theoretical performance disclosures. Sample GIPS Composite Report GIPS Advertising Guidelines Fundamental requirements of the GIPS Advertising Guidelines GIPS Advertisements that do not include performance. GIPS advertisements for composites GIPS Advertisements for a Broad Distribution Pooled Fund Verification Performance Examination Achieving Compliance Maintaining Compliance GIPS Standards for Asset Owners Chapter 8 Bringing it all together Effective dashboards Data visualisation tools Manager Selection Asset Manager Selection Manager Evaluation Portfolio Evaluation Monitoring and Control The Four Dimensions of Performance Ex-post Return (The traditional dimension) Ex-post Risk (The neglected dimension) Ex-ante Return (The unknown dimension) Ex-ante Risk (The "sexy" dimension) Risk efficiency ratio Performance efficiency Risk control structure Risk management Glossary of Key Terms Appendix A - Simple Attribution Appendix B - Multi-Currency Attribution Methodology Bibliography Index

Notă biografică

CARL R. BACON, CIPM, is Chief Advisor to Confluence. He is a member of the Advisory Board of the Journal of Performance Measurement and Founder of The Freedom Index Company. He is the former Chairman of StatPro plc, Director of Risk Control and Performance at Foreign & Colonial Management Ltd and Vice President Head of Performance (Europe) for JP Morgan Investment Management Inc.

Descriere

A practitioner's guide to the role and implications of performance measurement and attribution analysis in asset management firms Practical Portfolio Performance Measurement and Attribution is a comprehensive reference and guide to the use and calculation of performance returns in the investment decision process. Focusing on real-world application rather than academic theory, this highly practical book helps asset managers and investors determine return on assets, analyse portfolio behaviour and improve performance. Author Carl R. Bacon clearly describes each of the methodologies used by performance analysts in today's financial environment whilst sharing valuable insights drawn from his experience as a Director of Performance Measurement & Risk Control. The third edition is revised to reflect recent developments in performance attribution and presentation standards. Fully up-to-date chapters cover the entire performance measurement process, including return calculations, attribution methodologies, risk measures, manager selection and presentation of performance information. Written by an acknowledged leader in global investment performance standards, performance attribution technique and risk measurement Aligns with the publication of the 2020 Global Investment Performance Standards (GIPS®) Explains the mathematical aspects of performance measurement and attribution in a clear, easy-to-understand manner Provides numerous practical and worked examples of attribution analysis and risk calculations supported by Excel spreadsheets Includes signposts for the future development of performance measurement Practical Portfolio Performance Measurement and Attribution, Third Edition, remains a must-have for performance analysts and risk controllers, portfolio managers, compliance professionals and all asset managers, owners, consultants and servicing firms.