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Practical Risk Adjusted Performance Measurement

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Practical Risk Adjusted Performance Measurement

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Author : Carl R. Bacon
language : en
Publisher: John Wiley & Sons
Release Date : 2021-10-22

Practical Risk Adjusted Performance Measurement written by Carl R. Bacon and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-10-22 with Business & Economics categories.

Explore different measures of ex-post risk-adjusted performance measurement and learn to choose the correct one In the newly revised Second Edition of Practical Risk-Adjusted Performance Measurement, accomplished risk and investment expert Carl R. Bacon delivers an insightful, accessible, and real-world guide to ex-post risk measurement. The author bridges the gap between theory and practice, showing you how to apply the former to the latter without introducing unnecessary mathematical complexity. The book describes the fundamentals of risk in the asset management context and the descriptive statistics used to describe it. It builds on that foundation with detailed examinations of concepts like regression, drawdown, and partial moments, before moving on to topics like fixed income risk and Prospect Theory. With helpful additions that include recently developed measures of risk, supplementary explanatory sections, and six brand-new chapters, this book also offers: A practical classification of all ex-post risk measures and how they connect to one another An explanation of how risk-adjusted performance measures impact performance fees A discussion of risk measure dashboard designs Instructions on how appraisal measures should be used for manager selection Perfect for portfolio managers, asset owners, risk controllers, and investment performance analysts, Practical Risk-Adjusted Performance Measurement is an indispensable resource for anyone looking for a hands-on exploration of the buy-side, asset management perspective.

Practical Risk Adjusted Performance Measurement

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Author : Carl R. Bacon
language : en
Publisher: John Wiley & Sons
Release Date : 2021-10-18

Practical Portfolio Performance Measurement And Attribution

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Author : Carl R. Bacon
language : en
Publisher: John Wiley & Sons
Release Date : 2011-02-23

Practical Portfolio Performance Measurement And Attribution written by Carl R. Bacon and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-02-23 with Business & Economics categories.

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.

Investment Performance Measurement

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Author : Philip Lawton, CIPM
language : en
Publisher: John Wiley & Sons
Release Date : 2009-04-28

Investment Performance Measurement written by Philip Lawton, CIPM and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-04-28 with Business & Economics categories.

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.

Pricing Risk And Performance Measurement In Practice

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Author : Wolfgang Schwerdt
language : en
Publisher: Academic Press
Release Date : 2009-10-22

Pricing Risk And Performance Measurement In Practice written by Wolfgang Schwerdt and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-10-22 with Business & Economics categories.

How can managers increase their ability to calculate price and risk data for financial instruments while decreasing their dependence on a myriad of specific instrument variants? Wolfgang Schwerdt and Marcelle von Wendland created a simple and consistent way to handle and process large amounts of complex financial data. By means of a practical framework, their approach analyzes market and credit risk exposure of financial instruments and portfolios and calculates risk adjusted performance measures. Its emphasis on standardization yields significant improvements in speed and accuracy.Schwerdt and von Wendland's focus on practical implementation directly addresses limitations imposed by the complex and costly processing time required for advanced risk management models and pricing hundreds of thousands of securities each day. Their many examples and programming codes demonstrate how to use standards to build financial instruments, how to price them, and how to measure the risk and performance of the portfolios that include them.Feature: The authors have designed and implemented a standard for the description of financial instrumentsBenefit: The reader can rely on accurate and valid information about describing financial instrumentsFeature: The authors have developed an approach for pricing and analyzing any financial instrument using a limited set of atomic instrumentsBenefit: The reader can use these instruments to define and set up even very large numbers of financial instruments.Feature: The book builds a practical framework for analysing the market and credit risk exposure of financial instruments and portfoliosBenefit: Readers can use this framework today in their work and identify and measure market and credit risk using a reliable method.

Professional S Handbook Of Financial Risk Management

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Author : Lev Borodovsky
language : en
Publisher: Elsevier
Release Date : 2000-02-25

Professional S Handbook Of Financial Risk Management written by Lev Borodovsky and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-02-25 with Business & Economics categories.

Professional's Handbook of Financial Risk Management is a major reference work in finance. A complete practical reference book covering all aspects of financial risk management including an in-depth look at operational risk management, regulation, risk-based capital, and risk adjusted performance measurement. The book focuses on practical financial risk management techniques and solutions, and is designed to guide the risk professional step-by-step through the implementation of a firm-wide risk management framework. This book covers the various roles of the risk management function. Rather than describing every possible role in exhaustive detail, the authors have provided a story line for each of the discussed topics, including practical issues that a risk manager needs to consider when tackling the subject, possible solutions to difficulties that might be encountered, background knowledge that is essential to know, and more intricate practices and techniques that are being used. By providing these fundamentals, the novice risk professional can gain a thorough understanding of the topic in question while the more experienced professional can use some of the more advanced concepts within the book. Thus the book can be used to broaden your own knowledge of the risk world, both by familiarizing yourself with areas in which you lack experience and by enhancing your knowledge in areas that you already have expertise. All authors are leaders in their field who between them have the expertise and knowledge, both practical and theoretical, to produce this definitive risk management guide. The editors of this book, Marc Lore and Lev Borodovsky, are senior financial risk managers at Sanwa Bank (International) London, and Credit Suisse First Boston, USA respectively. They also run The Global Association of Risk Professionals (GARP), the industry association for financial risk management practitioners and researchers. - Endorsed by GARP - Global Association of Risk Professionals - Authored and edited by leading financial markets risk professionals - International in coverage; the concepts and methods covered are not specific to any country or institution, but rather to the risk management profession as a whole

Practical Portfolio Performance Measurement And Attribution

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Author : Carl R. Bacon
language : en
Publisher: John Wiley & Sons
Release Date : 2023-01-24

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.

The Complete Guide To Portfolio Performance

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Author : Georges Hubner
language : en
Publisher: John Wiley & Sons
Release Date : 2024-06-04

The Complete Guide To Portfolio Performance written by Georges Hubner and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-06-04 with Business & Economics categories.

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.

Evidence Based Practice Manual

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Author : Albert R. Roberts
language : en
Publisher: Oxford University Press
Release Date : 2004-01-15

Evidence Based Practice Manual written by Albert R. Roberts and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-01-15 with Social Science categories.

The Evidence-Based Practice Manual was developed as an all-inclusive and comprehensive practical desktop resource. It includes 104 original chapters, each specially written by the most prominent and experienced medical, public health, psychology, social work, criminal justice, and public policy practitioners, researchers, and professors in the United States and Canada. This book is specifically designed with practitioners in mind, providing at-a-glance overviews and direct application chapters. This is the only interdisciplinary volume available for locating and applying evidence-based assessment measures, treatment plans, and interventions. Particular attention has been given to providing practice guidelines and exemplars of evidence-based practice and practice-based research. The Evidence-Based Practice Manual emphasizes and summarizes key elements, issues, concepts, and how-to approaches in the development and application of evidence-based practice. Discussions include program evaluation, quality and operational improvement strategies, research grant applications, validating measurement tools, and utilizing statistical procedures. Concise summaries of the substantive evidence gained from methodologically rigorous quantitative and qualitative research provide make this is an accessible resource for a broad range of practitioners facing the mandate of evidence-based practice in the health and human services.

Advances In Knowledge Discovery And Data Mining

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Author : Tru Cao
language : en
Publisher: Springer
Release Date : 2015-04-16

Advances In Knowledge Discovery And Data Mining written by Tru Cao and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-04-16 with Computers categories.

This two-volume set, LNAI 9077 + 9078, constitutes the refereed proceedings of the 19th Pacific-Asia Conference on Advances in Knowledge Discovery and Data Mining, PAKDD 2015, held in Ho Chi Minh City, Vietnam, in May 2015. The proceedings contain 117 paper carefully reviewed and selected from 405 submissions. They have been organized in topical sections named: social networks and social media; classification; machine learning; applications; novel methods and algorithms; opinion mining and sentiment analysis; clustering; outlier and anomaly detection; mining uncertain and imprecise data; mining temporal and spatial data; feature extraction and selection; mining heterogeneous, high-dimensional and sequential data; entity resolution and topic-modeling; itemset and high-performance data mining; and recommendations.

Practical Risk Adjusted Performance Measurement

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