Bacon, Carl R., <br/><br/>
Practical portfolio performance measurement and attribution / 
Carl R Bacon. 
 - Third edition. 
 - 1 online resource. 
<br/><br/>Includes bibliographical references and index. 
<br/><br/>Table of Contents<br/>Contents<br/><br/>Acknowledgements<br/><br/>Contents<br/><br/>Chapter 1 Introduction<br/><br/>The Performance Measurement Process<br/><br/>Role of performance analysts<br/><br/>Book Structure<br/><br/>Chapter 2 The Asset Management Industry<br/><br/>Asset Classes<br/><br/>Public Equities<br/><br/>Bonds (or Fixed Income)<br/><br/>Cash (and near cash)<br/><br/>Private Assets<br/><br/>Real Estate<br/><br/>Private Equity<br/><br/>Private Debt<br/><br/>Infrastructure<br/><br/>Natural Resources<br/><br/>Commodities<br/><br/>Derivatives<br/><br/>Futures<br/><br/>Forwards<br/><br/>Swaps<br/><br/>Contracts for Difference (CFD)<br/><br/>Options<br/><br/>Overlay Strategies<br/><br/>Currency<br/><br/>Hedge Funds<br/><br/>Asset Allocation<br/><br/>Strategic asset allocation<br/><br/>Tactical asset allocation.<br/><br/>Chapter 3 The Mathematics of Portfolio Return<br/><br/>Simple Return<br/><br/>Continuously Compounded (or logarithmic) Returns<br/><br/>Money-weighted Returns (MWR)<br/><br/>Internal Rate of Return (IRR)<br/><br/>Ex-ante Internal Rate of Return<br/><br/>Simple Internal Rate of Return<br/><br/>Ex-post Internal Rate of Return<br/><br/>Simple Dietz<br/><br/>ICAA Method<br/><br/>Modified Dietz<br/><br/>Time-Weighted Returns (TWR)<br/><br/>True Time-Weighted<br/><br/>Unit Price Method<br/><br/>Unit Price Method with Distributions<br/><br/>Time-weighted versus Money-weighted Rates of Return<br/><br/>Approximations to the Time Weighted Return<br/><br/>Index Substitution<br/><br/>Regression Method (or b method)<br/><br/>Analyst’s Test<br/><br/>Hybrid Methodologies<br/><br/>Linked Modified Dietz<br/><br/>BAI Method (or linked IRR)<br/><br/>Which method to use?<br/><br/>Late Trading and Market Timing<br/><br/>Self-selection<br/><br/>Large Cash Flow<br/><br/>Self-selection of methodologies<br/><br/>Annualised Returns<br/><br/>Since Inception Internal Rate of Return (SI-IRR)<br/><br/>Modified IRR (MIRR)<br/><br/>Return Hiatus<br/><br/>Gross and net of fee calculations<br/><br/>Estimating gross and net of fee returns<br/><br/>Initial Fees<br/><br/>Performance Fees<br/><br/>Asymmetric or Symmetric<br/><br/>Crystallisation<br/><br/>Performance Fees in Practice<br/><br/>Equalization<br/><br/>Reporting Hierarchy<br/><br/>Overlay Strategies<br/><br/>Overlay performance return calculations:<br/><br/>Base currency and local returns<br/><br/>Currency conversions<br/><br/>Hedged Returns<br/><br/>Currency Overlay Returns<br/><br/>Perfectly Hedged Returns<br/><br/>Portfolio Component Returns<br/><br/>Money-weighted Component Returns<br/><br/>End of day<br/><br/>Beginning of day<br/><br/>Intra-day weighted<br/><br/>Differentiated<br/><br/>Actual Time<br/><br/>Rule-based<br/><br/>Extremely large cash flows<br/><br/>Which timing assumption to use for time-weighted returns?<br/><br/>Carve Outs<br/><br/>Sub-portfolios<br/><br/>Cash Sectors<br/><br/>Individual security returns<br/><br/>Multi-period component returns<br/><br/>Abnormal Returns<br/><br/>Short Positions<br/><br/>Contribution to return<br/><br/>Composite returns<br/><br/>Chapter 4 Benchmarks<br/><br/>Benchmarks<br/><br/>Benchmark attributes<br/><br/>The Role of Benchmarks<br/><br/>Types of Benchmarks<br/><br/>Commercial Indexes<br/><br/>Calculation methodologies<br/><br/>Aggregate Price Index (Price-weighted Index or Carli type)<br/><br/>Geometric (or Jevons type) Index<br/><br/>Market Capitalisation Index<br/><br/>Laspeyres Index<br/><br/>Paasche Index<br/><br/>Marshall – Edgeworth Index<br/><br/>Fisher Index<br/><br/>Equal weighted Indexes<br/><br/>Fundamental Indexes<br/><br/>Optimised Indexes (efficient or minimum variance indexes)<br/><br/>Fixed Income Indexes<br/><br/>Index Providers<br/><br/>Choice of Index Provider<br/><br/>Benchmark Regulation<br/><br/>Choice of Index<br/><br/>Currency Effects in Benchmark<br/><br/>Hedged Indexes<br/><br/>Customised Indexes<br/><br/>Capped Indexes<br/><br/>Peer Groups and Universes<br/><br/>Percentile Rank<br/><br/>Random Portfolios<br/><br/>Exchange Traded Funds (ETFs)<br/><br/>Target Returns<br/><br/>Blended Benchmarks (or balanced benchmarks)<br/><br/>Fixed Weight & Dynamised Benchmarks<br/><br/>Spliced Indexes<br/><br/>Money-weighted Benchmarks (or public market equivalents)<br/><br/>Normal Portfolio<br/><br/>Benchmark Statistics<br/><br/>Index Turnover<br/><br/>Up-capture Indicator<br/><br/>Down-capture Indicator<br/><br/>Up-number Ratio<br/><br/>Down-number Ratio<br/><br/>Up-percentage Ratio<br/><br/>Down-percentage Ratio<br/><br/>Percentage Gain Ratio<br/><br/>Excess return<br/><br/>Arithmetic Excess Return<br/><br/>Geometric Excess Return<br/><br/>Chapter 5 Risk<br/><br/>Definition of Risk<br/><br/>Risk types<br/><br/>Risk management v Risk control<br/><br/>Risk aversion<br/><br/>Ex-post and ex-ante<br/><br/>Descriptive Statistics<br/><br/>Mean (or arithmetic mean)<br/><br/>Mean absolute deviation (or mean deviation)<br/><br/>Variance<br/><br/>Bessel’s correction (population or sample, n or n-1)<br/><br/>Sample variance<br/><br/>Standard deviation (variability or volatility)<br/><br/>Annualised risk (or time aggregation)<br/><br/>The Central Limit Theorem<br/><br/>Frequency and number of data points<br/><br/>Normal (or Gaussian) distribution<br/><br/>Histograms<br/><br/>Skewness (Fisher’s or moment skewness)<br/><br/>Sample skewness<br/><br/>Kurtosis (Pearson’s kurtosis)<br/><br/>Excess kurtosis (or Fisher’s kurtosis)<br/><br/>Sample kurtosis<br/><br/>Bera-Jarque statistic (or Jarque-Bera)<br/><br/>Covariance<br/><br/>Sample covariance<br/><br/>Correlation (r)<br/><br/>Sample correlation<br/><br/>Performance appraisal<br/><br/>Sharpe ratio (reward to variability, Sharpe index)<br/><br/>Roy ratio<br/><br/>Risk-free rate<br/><br/>Alternative Sharpe ratio<br/><br/>Revised Sharpe ratio<br/><br/>Adjusted Sharpe Ratio<br/><br/>Skew-adjusted Sharpe Ratio<br/><br/>Relative risk<br/><br/>Tracking error (or tracking risk, relative risk, active risk)<br/><br/>Information ratio<br/><br/>Geometric information ratio<br/><br/>Modified information ratio<br/><br/>Regression analysis<br/><br/>Regression equation<br/><br/>Regression alpha<br/><br/>Regression beta<br/><br/>Regression epsilon<br/><br/>Capital Asset Pricing Model (CAPM)<br/><br/>Beta (b) (systematic risk or volatility)<br/><br/>Jensen’s alpha (Jensen’s measure or Jensen’s differential return or ex-post alpha)<br/><br/>Annualised alpha<br/><br/>Bull beta (b+)<br/><br/>Bear beta (b-)<br/><br/>Beta timing ratio<br/><br/>Market timing<br/><br/>Systematic risk<br/><br/>Correlation<br/><br/>R2(or coefficient of determination)<br/><br/>Specific (or residual) risk<br/><br/>Treynor ratio  (Reward to volatility)<br/><br/>Appraisal ratio (or Treynor-Black ratio)<br/><br/>Factor Models<br/><br/>Fama decomposition<br/><br/>Selectivity<br/><br/>Diversification<br/><br/>Net selectivity<br/><br/>Fama-French three factor model<br/><br/>Three factor alpha (or Fama-French alpha)<br/><br/>Carhart four factor model<br/><br/>Four factor alpha (or Carhart’s alpha)<br/><br/>Multi-factor Models<br/><br/>Drawdown<br/><br/>Average drawdown<br/><br/>Maximum drawdown<br/><br/>Largest individual drawdown<br/><br/>Recovery time (or drawdown duration)<br/><br/>Drawdown deviation<br/><br/>Ulcer index<br/><br/>Pain index<br/><br/>Calmar ratio (or Drawdown ratio)<br/><br/>MAR ratio<br/><br/>Sterling ratio<br/><br/>Sterling-Calmar ratio<br/><br/>Burke ratio<br/><br/>Modified Burke ratio<br/><br/>Martin ratio (or Ulcer performance index)<br/><br/>Pain ratio<br/><br/>Partial Moments<br/><br/>Downside risk (or semi-standard deviation)<br/><br/>Downside potential<br/><br/>Pure downside risk<br/><br/>Half variance (or semi-variance)<br/><br/>Upside risk (or upside uncertainty)<br/><br/>Mean absolute moment<br/><br/>Omega ratio (W)<br/><br/>Bernardo & Ledoit (or gain–loss) ratio<br/><br/>d ratio<br/><br/>Omega-Sharpe ratio<br/><br/>Sortino ratio<br/><br/>Reward to half-variance<br/><br/>Downside risk Sharpe ratio<br/><br/>Sortino-Satchell ratio<br/><br/>Kappa ratio<br/><br/>Upside potential ratio<br/><br/>Volatility skewness<br/><br/>Variability skewness<br/><br/>Farinelli-Tibiletti Ratio<br/><br/>Prospect ratio<br/><br/>Fixed Income Risk<br/><br/>Pricing fixed income instruments<br/><br/>Redemption yield (yield to maturity)<br/><br/>Weighted average cash flow<br/><br/>Duration (effective mean term, discounted mean term or volatility)<br/><br/>Macaulay duration<br/><br/>Macaulay-Weil duration<br/><br/>Modified duration<br/><br/>Portfolio duration<br/><br/>Effective duration (or option-adjusted duration)<br/><br/>Duration to worst<br/><br/>Convexity<br/><br/>Modified convexity<br/><br/>Effective convexity<br/><br/>Portfolio convexity<br/><br/>Bond returns<br/><br/>Duration beta<br/><br/>Reward to duration<br/><br/>Miscellaneous Risk Measures<br/><br/>Hurst index (or Hurst exponent)<br/><br/>Bias ratio<br/><br/>Active Share<br/><br/>Value at Risk (VaR)<br/><br/>Risk-adjusted return<br/><br/>M2<br/><br/>M2 excess return<br/><br/>Differential return<br/><br/>Adjusted M2<br/><br/>Skew-adjusted M2<br/><br/>Types of Excess Return (or Alpha)<br/><br/>A Periodic Table of Risk Measures<br/><br/>Periodic Table Design<br/><br/>Why measure ex-post risk?<br/><br/>Which risk measures to use?<br/><br/>Hedge funds<br/><br/>Smoothing<br/><br/>Outliers<br/><br/>Data mining<br/><br/>Time Period<br/><br/>Chapter 6 Return Attribution  280<br/><br/>What is Attribution?<br/><br/>Definition<br/><br/>Attribution as an asset management tool<br/><br/>Early Development<br/><br/>Types of Return Attribution<br/><br/>Returns-based (regression or factor) Attribution<br/><br/>Holdings-based (or buy/hold) Attribution<br/><br/>Transaction-based Attribution<br/><br/>Arithmetic Attribution<br/><br/>Brinson, Hood & Beebower<br/><br/>Asset Allocation<br/><br/>Security (or Stock) Selection<br/><br/>Interaction<br/><br/>Brinson & Fachler<br/><br/>Interaction<br/><br/>Geometric Excess Return Attribution<br/><br/>Asset allocation<br/><br/>Stock selection<br/><br/>Sector Weights<br/><br/>Frequency of Analysis<br/><br/>Security Level Attribution<br/><br/>Transaction costs<br/><br/>Off-benchmark (or zero weight sector) attribution<br/><br/>Attribution consistent with the Investment Decision Process<br/><br/>Market Neutral Attribution<br/><br/>Attribution for 130/30 funds (or extended short funds)<br/><br/>Leverage (or gearing)<br/><br/>Attribution including derivatives<br/><br/>Attribution including Equity Index Futures<br/><br/>Attribution Analysis using options<br/><br/>Multi-currency attribution<br/><br/>Ankrim & Hensel<br/><br/>Karnosky & Singer<br/><br/>Geometric Multi-Currency Attribution<br/><br/>Naïve Currency Attribution<br/><br/>Compounding effects<br/><br/>Geometric Currency Allocation<br/><br/>Currency Timing<br/><br/>Interest Rate Differentials<br/><br/>Revised Currency Allocation<br/><br/>Revised Country Allocation<br/><br/>Incorporating Forward Currency Contracts<br/><br/>Summarising<br/><br/>Other Currency Issues<br/><br/>Fixed Income Attribution<br/><br/>The Yield Curve<br/><br/>Yield curve analysis<br/><br/>Shift<br/><br/>Twist (or slope)<br/><br/>Curvature (or butterfly)<br/><br/>Carry<br/><br/>Credit (or spread)<br/><br/>Yield Curve Decomposition<br/><br/>Wagner & Tito<br/><br/>Weighted Duration Attribution<br/><br/>Geometric Fixed Income Attribution<br/><br/>Campisi Framework<br/><br/>Yield Curve Decomposition<br/><br/>Multi-period attribution<br/><br/>Smoothing Algorithms<br/><br/>Carino<br/><br/>Menchero<br/><br/>Linking Algorithms<br/><br/>GRAP Method<br/><br/>Frongello<br/><br/>Davies & Laker<br/><br/>Multi-period Geometric Attribution<br/><br/>Annualisation of Excess Return<br/><br/>Attribution Annualisation<br/><br/>Contribution Analysis (or absolute return attribution)<br/><br/>Risk-adjusted Attribution<br/><br/>Selectivity<br/><br/>Multi-level Attribution<br/><br/>Balanced attribution<br/><br/>Evolution of performance attribution methodologies<br/><br/>Chapter 7 Performance Presentation Standards<br/><br/>Why do we need performance presentation standards?<br/><br/>Global Investment Performance Standards (GIPS®) – A history<br/><br/>Advantages for Asset Managers<br/><br/>The GIPS Standards<br/><br/>Fundamentals of Compliance<br/><br/>Definition of the Firm<br/><br/>Maintaining Policies and Procedures<br/><br/>Providing GIPS Reports<br/><br/>Benchmark Selection<br/><br/>Correcting Errors in GIPS Reports<br/><br/>Composite Descriptions<br/><br/>Recordkeeping<br/><br/>Linking of theoretical and actual performance<br/><br/>Portability<br/><br/>Use of time-weighted or money-weighted returns<br/><br/>Claiming Compliance with the GIPS standards.<br/><br/>Input Data and Calculation Methodology<br/><br/>Firm Assets, Composite Assets and Pooled Fund Assets<br/><br/>Overlay Exposure<br/><br/>Returns<br/><br/>Valuation<br/><br/>Time-Weighted Returns<br/><br/>Money-weighted Returns<br/><br/>Net Returns<br/><br/>Composite Returns<br/><br/>Private Market Investments<br/><br/>Real Estate<br/><br/>Net-of-fee Carve-outs returns<br/><br/>Wrap fee, side pockets and subscription lines of credit<br/><br/>Composite and Pooled Fund Maintenance<br/><br/>Composite Maintenance<br/><br/>Carve-Outs<br/><br/>Presentation and Reporting<br/><br/>Composite Time-weighted Return Report<br/><br/>Returns, Dispersion & Risk<br/><br/>Unobservable inputs, gross or net-of-fees, multiple benchmarks, breaks in performance, carve-outs and non-fee-paying portfolios<br/><br/>Committed Capital and Advisory Assets<br/><br/>Reporting currency, carve-outs, overlay strategies, wrap fees and supplemental information<br/><br/>Composite Money-weighted Reports<br/><br/>Composite Cumulative Committed Capital<br/><br/>Total Value to Since-inception Paid in Capital (TVPI or Multiple of Investment Capital (MOIC) or Investment Multiple)<br/><br/>Since-inception Distributions to Since-inception Paid-in Capital (Realisation multiple or DPI)<br/><br/>Since-inception Paid-in Capital to cumulative Committed Capital (PIC Multiple)<br/><br/>Residual Value to since-Inception Paid-in Capital (Unrealised Multiple or RVPI)<br/><br/>Disclosures<br/><br/>Claim of Compliance<br/><br/>Firm, composite and benchmark definitions<br/><br/>Fee disclosures<br/><br/>Inception date, creation date, composite lists availability of policies and procedures, leverage and estimated transaction costs.<br/><br/>Significant events, redefinition, minimum asset levels and withholding tax<br/><br/>Conflicts with regulation, carve-out disclosures & sub-advisors.<br/><br/>Benchmark Disclosures<br/><br/>Significant cash flow disclosure and material errors.<br/><br/>Risk measures, overlay strategy, real estate valuation and theoretical performance disclosures.<br/><br/>Sample GIPS Composite Report<br/><br/>GIPS Advertising Guidelines<br/><br/>Fundamental requirements of the GIPS Advertising Guidelines<br/><br/>GIPS Advertisements that do not include performance.<br/><br/>GIPS advertisements for composites<br/><br/>GIPS Advertisements for a Broad Distribution Pooled Fund<br/><br/>Verification<br/><br/>Performance Examination<br/><br/>Achieving Compliance<br/><br/>Maintaining Compliance<br/><br/>GIPS Standards for Asset Owners<br/><br/>Chapter 8 Bringing it all together<br/><br/>Effective dashboards<br/><br/>Data visualisation tools<br/><br/>Manager Selection<br/><br/>Asset Manager Selection<br/><br/>Manager Evaluation<br/><br/>Portfolio Evaluation<br/><br/>Monitoring and Control<br/><br/>The Four Dimensions of Performance<br/><br/>Ex-post Return (The traditional dimension)<br/><br/>Ex-post Risk (The neglected dimension)<br/><br/>Ex-ante Return (The unknown dimension)<br/><br/>Ex-ante Risk (The “sexy” dimension)<br/><br/>Risk efficiency ratio<br/><br/>Performance efficiency<br/><br/>Risk control structure<br/><br/>Risk management<br/><br/>Glossary of Key Terms<br/><br/>Appendix A - Simple Attribution<br/><br/>Appendix B - Multi-Currency Attribution Methodology<br/><br/>Bibliography<br/><br/>Index 
<br/><br/> "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 behavior of a portfolio of assets, communicate with clients and determine how performance can be improved. The process of adding value via benchmarking, asset allocation, security analysis, portfolio construction, and executing transactions is collectively described as the investment decision process. There are many stakeholders in the investment decision process; this book focuses on the investors or owners of capital and the firms managing their assets (asset managers or individual portfolio managers)"-- 
<br/><br/><br/>About the Author<br/>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. 
<br/><br/><label>ISBN: </label>9781119831945 9781119831976 1119831970 9781119831969 1119831962 9781119831952 1119831954 
<br/><br/><label>Standard No.: </label>10.1002/9781119831976  doi 
<br/><br/><label>Source: </label>9781119831945  O'Reilly Media 
<br/><br/><label>Subjects--Topical Terms: </label><br/>Investment analysis.<br/>Portfolio management.<br/>Business enterprises--Finance.<br/>Corporations--Finance.
<br/><br/><label>Index Terms--Genre/Form: </label><br/>Electronic books.
<br/><br/><label>LC Class. No.: </label>HG4529 
<br/><br/><label>Dewey Class. No.: </label>332.6