The Complete Guide to Portfolio Performance

Pascal François , Georges Hübner 지음

Wiley 2024년 04월 23일 출간

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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.

목차

Preface xxvii Acknowledgements xxxi About the Website xxxiii Chapter 1 The Scope of Portfolio Performance 1 1.1 From Portfolio Management to Portfolio Performance 2 1.2 Rolling Out the Three Layers of Performance Evaluation 10 1.3 Returns, Risk, and Benchmarks 17 Key Takeaways and Equations 27 References 30 Part I Classical Performance Measurement 33 Chapter 2 Standard Portfolio Theory and the CAPM 35 2.1 The Portfolio Allocation Problem 37 2.2 The Market Portfolio and the Security Market Line 45 2.3 Implementing the CAPM 53 2.4 Multifactor Models 64 Key Takeaways and Equations 72 References 73 Chapter 3 Classical Portfolio Performance Measures 77 3.1 Peer Group Comparisons 80 3.2 The Sharpe Ratio 87 3.3 The Treynor Ratio, Jensen’s Alpha, and the Modified Jensen’s Alpha 100 3.4 The Information Ratio 114 Key Takeaways and Equations 126 References 129 Chapter 4 Selecting a Classical Performance Measure 131 4.1 Risk and Measurement Dimensions 134 4.2 Choosing a Measure for the Investor: The Normative Approach 140 4.3 Choosing a Measure for the Investor: The Positive Approach 154 4.4 Choosing a Measure for the Manager 167 Key Takeaways and Equations 177 References 180 Chapter 5 Pitfalls and Dangers with the Classical Performance Measures 183 5.1 Issues with the Standard Portfolio Theory Framework 185 5.2 Issues with the Capital Asset Pricing Model 197 5.3 Issues with the Sample 210 5.4 Issues with the Regressions 223 5.5 Issues with the Interpretations 233 Key Takeaways and Equations 247 References 250 Part II Developments in Performance Measurement 253 Chapter 6 The Classical Performance Measures Revisited 255 6.1 Refinements of

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저자(글) Pascal François

저자(글) Georges Hübner