"Practical Portfolio Performance Measurement and Attribution" by Carl R. Bacon (Repost)

Focusing on the practical use and calculation of performance returns rather than the academic background, this book 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.

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.
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. Complete with a CD containing worked examples for the majority of exhibits, 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.

Contents
Acknowledgements
1 Introduction
2 The Mathematics of Portfolio Return
3 Benchmarks
4 Risk
5 Performance Attribution
6 Multi-currency Attribution
7 Fixed Income Attribution
8 Multi-period Attribution
9 Further Attribution Issues
10 Performance Measurement for Derivatives
11 Performance Presentation Standards
Appendix A Simple Attribution
Appendix B Multi-currency Attribution Methodology
Appendix C EIPC Guidance for Users of Attribution Analysis
Appendix D European Investment Performance Committee - Guidance on Performance Attribution Presentation
Appendix E The Global Investment Performance Standards
Appendix F Guidance Statement on Composite Definition
Appendix G Sample Global Investment Performance Standards Presentation
Appendix H Calculation Methodology Guidance Statement
Appendix I Definition of Firm Guidance Statements
Appendix J Treatment of Carve-outs Guidance Statement
Appendix K Significant Cash Flow Guidance Statement
Appendix L Guidance Statement on Performance Record Portability
Appendix M Guidance Statement on the Use of Supplemental Information
Appendix N Guidance Statement on Recordkeeping Requirements of the GIPS Standards
Appendix O Useful Websites
Bibliography
Index

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