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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…mehr
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.
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Autorenporträt
PHILIP LAWTON, PHD, CFA, CIPM, heads the Certificate in Investment Performance Measurement (CIPM) program at CFA Institute. His previous experience includes serving as vice president at State Street Analytics, where he supported the investment consulting firms that belong to the Independent Consultants Cooperative, and at Citibank, where he headed U.S. performance measurement in Worldwide Securities Services. Lawton is a frequent speaker on institutional investing and performance measurement at industry conferences. TODD JANKOWSKI, CFA, is Director of Curriculum Development for the Certificate in Investment Performance Measurement (CIPM) program at CFA Institute. Prior to joining CFA Institute, he was head of investment research in the Wealth Management division of Northwestern Mutual Life Insurance Company, where he had earlier held investment management positions in the Retail Advisory and Institutional Private Placement divisions.
Inhaltsangabe
Foreword xi Robert R. Johnson, CFA Introduction 1 Philip Lawton, CFA, CIPM, and Todd Jankowski, CFA Part I: Overview of Performance Evaluation Chapter 1 Evaluating Portfolio Performance 11 Jeffery V. Bailey, CFA, Thomas M. Richards, CFA, and David E. Tierney Reprinted from Managing Investment Portfolios: A Dynamic Process, 3rd Edition (John Wiley & Sons, 2007):717-780. Part II: Performance Measurement Chapter 2 Benchmarks and Investment Management 81 Laurence B. Siegel Reprinted from the Research Foundation of CFA Institute (2003). Chapter 3 The Importance of Index Selection 189 Christopher G. Luck, CFA Reprinted from AIMR Conference Proceedings: Benchmarks and Attribution Analysis (June 2001):4-12. Chapter 4 After-Tax Performance Evaluation 203 James M. Poterba Reprinted from AIMR Conference Proceedings: Investment Counseling for Private Clients II (August 2000):58-67. Chapter 5 Taxable Benchmarks: The Complexity Increases 217 Lee N. Price, CFA Reprinted from AIMR Conference Proceedings: Investment Counseling for Private Clients III (August 2001):54-64. Chapter 6 Overcoming Cap-Weighted Bond Benchmark Deficiencies 233 William L. Nemerever, CFA Reprinted from CFA Institute Conference Proceedings Quarterly (December 2007):55-66. Chapter 7 Yield Bogeys 251 Brent Ambrose and Arthur Warga Reprinted from Financial Analysts Journal (September/October 1996):63-68. Chapter 8 Jumping on the Benchmark Bandwagon: Benchmark Methodologies Are the Subject of Vigorous Debate 259 Crystal Detamore-Rodman Reprinted from CFA Magazine (January/February 2004):54-55. Part III: Performance Attribution Chapter 9 Determinants of Portfolio Performance 267 Gary P. Brinson, L. Randolph Hood, CFA, and Gilbert L. Beebower Reprinted from Financial Analysts Journal (July/August 1986):39-44. Chapter 10 Determinants of Portfolio Performance II: An Update 277 Gary P. Brinson, Brian D. Singer, CFA, and Gilbert L. Beebower Reprinted from Financial Analysts Journal (May/June 1991):40-48. Chapter 11 Determinants of Portfolio Performance-20 Years Later 289 L. Randolph Hood, CFA Reprinted from Financial Analysts Journal (September/October 2005):6-8. Chapter 12 Equity Portfolio Characteristics in Performance Analysis 293 Stephen C. Gaudette, CFA, and Philip Lawton, CFA, CIPM Reprinted from CFA Institute (2007). Chapter 13 Mutual Fund Performance: Does Fund Size Matter? 307 Daniel C. Indro, Christine X. Jiang, Michael Y. Hu, and Wayne Y. Lee Reprinted from the Financial Analysts Journal (May/June 1999):74-87. Chapter 14 Multiperiod Arithmetic Attribution 327 José Menchero, CFA Reprinted from the Financial Analysts Journal (July/August 2004):76-91. Chapter 15 Optimized Geometric Attribution 351 José Menchero, CFA Reprinted from the Financial Analysts Journal (July/August 2005):60-69. Chapter 16 Custom Factor Attribution 367 José Menchero, CFA, and Vijay Poduri, CFA Reprinted from the Financial Analysts Journal (March/April 2008):81-92. Chapter 17 Return, Risk, and Performance Attribution 387 Kevin Terhaar, CFA Reprinted from AIMR Conference Proceedings: Benchmarks and Attribution Analysis (June 2001):21-27. Chapter 18 Global Asset Management and Performance Attribution 397 Denis S. Karnosky and Brian D. Singer, CFA Reprinted from The Research Foundation of CFA Institute (February 1994). Chapter 19 Currency Overlay in Performance Evaluation 457 Cornelia Paape Reprinted from Financial Analysts Journal (March/April 2003):55-68. Part IV: Performance Appraisal Chapter 20 On the Performance of Hedge Funds 481 Bing Liang Reprinted from the Financial Analysts Journal (July/August 1999):72-85. Chapter 21 Funds of Hedge Funds: Performance and Persistence 501 Stan Beckers Reprinted from CFA Institute Conference Proceedings Quarterly (June 2007):25-33. Chapter 22 Hedge Fund Due Diligence: Putting Together the Pieces of the Mosaic Helps Reveal Operational Risks 513 Cynthia Harrington, CFA Reprinted from CFA Magazine (May/June 2003):54-55. Chapter 23 Putting Risk Measurement in Context: Why One Size Does Not Fit All 517 Cynthia Harrington, CFA Reprinted from CFA Magazine (March/April 2004):44-45. Chapter 24 Conditional Performance Evaluation, Revisited 521 Wayne E. Ferson and Meijun Qian Reprinted from the Research Foundation of CFA Institute (September 2004). Chapter 25 Distinguishing True Alpha from Beta 591 Laurence B. Siegel Reprinted from CFA Institute Conference Proceedings: Challengesand Innovation in Hedge Fund Management (July 2004):20-29. Chapter 26 A Portfolio Performance Index 605 Michael Stutzer Reprinted from the Financial Analysts Journal (May/June 2000):52-61. Chapter 27 Approximating the Confidence Intervals for Sharpe Style Weights 619 Angelo Lobosco and Dan DiBartolomeo Reprinted from Financial Analysts Journal (July/August 1997):80-85. Chapter 28 The Statistics of Sharpe Ratios 629 Andrew W. Lo Reprinted from the Financial Analysts Journal (July/August 2002):36-52. Chapter 29 Risk-Adjusted Performance: The Correlation Correction 653 Arun S. Muralidhar Reprinted with updates from the Financial Analysts Journal (September/ October 2000):63-71. Chapter 30 Index Changes and Losses to Index Fund Investors 669 Honghui Chen, Gregory Noronha, CFA, and Vijay Singal, CFA Reprinted from the Financial Analysts Journal (July/August 2006):31-47. Chapter 31 Information Ratios and Batting Averages 693 Neil Constable and Jeremy Armitage, CFA Reprinted from the Financial Analysts Journal (May/June 2006):24-31. Chapter 32 The Information Ratio 705 Thomas H. Goodwin Reprinted from the Financial Analysts Journal (July/August 1998):34-43. Chapter 33 Does Asset Allocation Policy Explain 40, 90, or 100 Percent of Performance? 719 Roger G. Ibbotson and Paul D. Kaplan Reprinted from the Financial Analysts Journal (January/February 2000):26-33. Chapter 34 Fund Management Changes and Equity Style Shifts 731 John G. Gallo and Larry J. Lockwood Reprinted from Financial Analysts Journal (September/October 1999):44-52. Chapter 35 Managing Performance: Monitoring and Transitioning Managers 745 Louisa Wright Sellers Reprinted from AIMR Conference Proceedings: Investment Counseling for Private Clients IV (August 2002):32-39. Chapter 36 Does the Emperor Wear Clothes or Not? The Final Word (or Almost) on the Parable of Investment Management 757 Philip Halpern, Nancy Calkins, and Tom Ruggels Reprinted from Financial Analysts Journal (July/August 1996):9-15. Chapter 37 Does Historical Performance Predict Future Performance? 767 Ronald N. Kahn and Andrew Rudd Reprinted from Financial Analysts Journal (November/December 1995):43-52. Chapter 38 Evaluating Fund Performance in a Dynamic Market 785 Wayne E. Ferson and Vincent A. Warther Reprinted from Financial Analysts Journal (November/December 1996):20-28. Chapter 39 Investment Performance Appraisal 799 John P. Meier, CFA Reprinted from CFA Institute (2008). Chapter 40 Thinking Outside the Box: Risk Management Firms Put a Creative Spin on Coupling Theory with Practice 815 Susan Trammell, CFA Reprinted from CFA Magazine (March/April 2004):32-35. Part V: Global Investment Performance Standards Chapter 41 Global Investment Performance Standards 825 Philip Lawton, CFA, CIPM, and W. Bruce Remington, CFA Reprinted from Managing Investment Portfolios: A Dynamic Process, 3 ed. (John Wiley & Sons, 2007):783-855. Appendix A Global Investment Performance Standards (GIPS®) 899 Reprinted from the CFA Institute Centre for Financial Market Integrity (February 2005). Appendix B Corrections to GIPS Standards 2005: Last Updated October 31, 2006 951 About the Contributors 953 Index 956
Foreword xi Robert R. Johnson, CFA Introduction 1 Philip Lawton, CFA, CIPM, and Todd Jankowski, CFA Part I: Overview of Performance Evaluation Chapter 1 Evaluating Portfolio Performance 11 Jeffery V. Bailey, CFA, Thomas M. Richards, CFA, and David E. Tierney Reprinted from Managing Investment Portfolios: A Dynamic Process, 3rd Edition (John Wiley & Sons, 2007):717-780. Part II: Performance Measurement Chapter 2 Benchmarks and Investment Management 81 Laurence B. Siegel Reprinted from the Research Foundation of CFA Institute (2003). Chapter 3 The Importance of Index Selection 189 Christopher G. Luck, CFA Reprinted from AIMR Conference Proceedings: Benchmarks and Attribution Analysis (June 2001):4-12. Chapter 4 After-Tax Performance Evaluation 203 James M. Poterba Reprinted from AIMR Conference Proceedings: Investment Counseling for Private Clients II (August 2000):58-67. Chapter 5 Taxable Benchmarks: The Complexity Increases 217 Lee N. Price, CFA Reprinted from AIMR Conference Proceedings: Investment Counseling for Private Clients III (August 2001):54-64. Chapter 6 Overcoming Cap-Weighted Bond Benchmark Deficiencies 233 William L. Nemerever, CFA Reprinted from CFA Institute Conference Proceedings Quarterly (December 2007):55-66. Chapter 7 Yield Bogeys 251 Brent Ambrose and Arthur Warga Reprinted from Financial Analysts Journal (September/October 1996):63-68. Chapter 8 Jumping on the Benchmark Bandwagon: Benchmark Methodologies Are the Subject of Vigorous Debate 259 Crystal Detamore-Rodman Reprinted from CFA Magazine (January/February 2004):54-55. Part III: Performance Attribution Chapter 9 Determinants of Portfolio Performance 267 Gary P. Brinson, L. Randolph Hood, CFA, and Gilbert L. Beebower Reprinted from Financial Analysts Journal (July/August 1986):39-44. Chapter 10 Determinants of Portfolio Performance II: An Update 277 Gary P. Brinson, Brian D. Singer, CFA, and Gilbert L. Beebower Reprinted from Financial Analysts Journal (May/June 1991):40-48. Chapter 11 Determinants of Portfolio Performance-20 Years Later 289 L. Randolph Hood, CFA Reprinted from Financial Analysts Journal (September/October 2005):6-8. Chapter 12 Equity Portfolio Characteristics in Performance Analysis 293 Stephen C. Gaudette, CFA, and Philip Lawton, CFA, CIPM Reprinted from CFA Institute (2007). Chapter 13 Mutual Fund Performance: Does Fund Size Matter? 307 Daniel C. Indro, Christine X. Jiang, Michael Y. Hu, and Wayne Y. Lee Reprinted from the Financial Analysts Journal (May/June 1999):74-87. Chapter 14 Multiperiod Arithmetic Attribution 327 José Menchero, CFA Reprinted from the Financial Analysts Journal (July/August 2004):76-91. Chapter 15 Optimized Geometric Attribution 351 José Menchero, CFA Reprinted from the Financial Analysts Journal (July/August 2005):60-69. Chapter 16 Custom Factor Attribution 367 José Menchero, CFA, and Vijay Poduri, CFA Reprinted from the Financial Analysts Journal (March/April 2008):81-92. Chapter 17 Return, Risk, and Performance Attribution 387 Kevin Terhaar, CFA Reprinted from AIMR Conference Proceedings: Benchmarks and Attribution Analysis (June 2001):21-27. Chapter 18 Global Asset Management and Performance Attribution 397 Denis S. Karnosky and Brian D. Singer, CFA Reprinted from The Research Foundation of CFA Institute (February 1994). Chapter 19 Currency Overlay in Performance Evaluation 457 Cornelia Paape Reprinted from Financial Analysts Journal (March/April 2003):55-68. Part IV: Performance Appraisal Chapter 20 On the Performance of Hedge Funds 481 Bing Liang Reprinted from the Financial Analysts Journal (July/August 1999):72-85. Chapter 21 Funds of Hedge Funds: Performance and Persistence 501 Stan Beckers Reprinted from CFA Institute Conference Proceedings Quarterly (June 2007):25-33. Chapter 22 Hedge Fund Due Diligence: Putting Together the Pieces of the Mosaic Helps Reveal Operational Risks 513 Cynthia Harrington, CFA Reprinted from CFA Magazine (May/June 2003):54-55. Chapter 23 Putting Risk Measurement in Context: Why One Size Does Not Fit All 517 Cynthia Harrington, CFA Reprinted from CFA Magazine (March/April 2004):44-45. Chapter 24 Conditional Performance Evaluation, Revisited 521 Wayne E. Ferson and Meijun Qian Reprinted from the Research Foundation of CFA Institute (September 2004). Chapter 25 Distinguishing True Alpha from Beta 591 Laurence B. Siegel Reprinted from CFA Institute Conference Proceedings: Challengesand Innovation in Hedge Fund Management (July 2004):20-29. Chapter 26 A Portfolio Performance Index 605 Michael Stutzer Reprinted from the Financial Analysts Journal (May/June 2000):52-61. Chapter 27 Approximating the Confidence Intervals for Sharpe Style Weights 619 Angelo Lobosco and Dan DiBartolomeo Reprinted from Financial Analysts Journal (July/August 1997):80-85. Chapter 28 The Statistics of Sharpe Ratios 629 Andrew W. Lo Reprinted from the Financial Analysts Journal (July/August 2002):36-52. Chapter 29 Risk-Adjusted Performance: The Correlation Correction 653 Arun S. Muralidhar Reprinted with updates from the Financial Analysts Journal (September/ October 2000):63-71. Chapter 30 Index Changes and Losses to Index Fund Investors 669 Honghui Chen, Gregory Noronha, CFA, and Vijay Singal, CFA Reprinted from the Financial Analysts Journal (July/August 2006):31-47. Chapter 31 Information Ratios and Batting Averages 693 Neil Constable and Jeremy Armitage, CFA Reprinted from the Financial Analysts Journal (May/June 2006):24-31. Chapter 32 The Information Ratio 705 Thomas H. Goodwin Reprinted from the Financial Analysts Journal (July/August 1998):34-43. Chapter 33 Does Asset Allocation Policy Explain 40, 90, or 100 Percent of Performance? 719 Roger G. Ibbotson and Paul D. Kaplan Reprinted from the Financial Analysts Journal (January/February 2000):26-33. Chapter 34 Fund Management Changes and Equity Style Shifts 731 John G. Gallo and Larry J. Lockwood Reprinted from Financial Analysts Journal (September/October 1999):44-52. Chapter 35 Managing Performance: Monitoring and Transitioning Managers 745 Louisa Wright Sellers Reprinted from AIMR Conference Proceedings: Investment Counseling for Private Clients IV (August 2002):32-39. Chapter 36 Does the Emperor Wear Clothes or Not? The Final Word (or Almost) on the Parable of Investment Management 757 Philip Halpern, Nancy Calkins, and Tom Ruggels Reprinted from Financial Analysts Journal (July/August 1996):9-15. Chapter 37 Does Historical Performance Predict Future Performance? 767 Ronald N. Kahn and Andrew Rudd Reprinted from Financial Analysts Journal (November/December 1995):43-52. Chapter 38 Evaluating Fund Performance in a Dynamic Market 785 Wayne E. Ferson and Vincent A. Warther Reprinted from Financial Analysts Journal (November/December 1996):20-28. Chapter 39 Investment Performance Appraisal 799 John P. Meier, CFA Reprinted from CFA Institute (2008). Chapter 40 Thinking Outside the Box: Risk Management Firms Put a Creative Spin on Coupling Theory with Practice 815 Susan Trammell, CFA Reprinted from CFA Magazine (March/April 2004):32-35. Part V: Global Investment Performance Standards Chapter 41 Global Investment Performance Standards 825 Philip Lawton, CFA, CIPM, and W. Bruce Remington, CFA Reprinted from Managing Investment Portfolios: A Dynamic Process, 3 ed. (John Wiley & Sons, 2007):783-855. Appendix A Global Investment Performance Standards (GIPS®) 899 Reprinted from the CFA Institute Centre for Financial Market Integrity (February 2005). Appendix B Corrections to GIPS Standards 2005: Last Updated October 31, 2006 951 About the Contributors 953 Index 956
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