Practical Portfolio Performance Measurement and Attribution

By Carl Bacon

Performance measurement is a key function in an asset management firm, and deserves better than to be grouped with the back office. Performance measurers provide real added value, with feedback into the investment decision process and analysis of structural issues. Since their role is to understand in full and communicate the sources of return within portfolios they are often the only independent source equipped to understand the performance of all the portfolios and strategies operating within the asset management firm.

This book provides an introduction to the subject of performance measurement. Focusing on the practical use and calculation of performance returns rather than the academic background, it is suitable for both practitioners and users of performance measurement information. There have been significant developments in the area of performance attribution and presentation standards recently, which deserve practical coverage. This book offers the reader:

A clear understanding of the role and implications of performance measurement
The latest methodologies to enhance their accuracy in measuring investment returns
Help in interpreting the contribution of stock selection and asset allocation to ensure the user meets the fund's objectives
Identify and measure the risk of their portfolio, ensuring effective performance measurement control
Update on the latest developments in performance standards globally
Gain real understanding and confidence in underlying calculations

References

Carl's book is a 'must have' resource - the complete A to Z of the increasingly complex field of performance measurement.
Glenn Solomon, Global Head of Institutional Clients, Investment Reporting & Performance, BNP Paribas Securities Services

Internationally renowned authority Carl Bacon has provided what one would expect - an exceptionally well written and practical resource that every investment performance measurement professional should own.
David Spaulding, President, The Spaulding Group

Carl Bacon is one of the most knowledgeable professionals I know on the subject of Performance Measurement. He has been a pioneer, leader, and teacher at the forefront of developments in global investment performance standards, performance attribution technique, and risk measurement. I am very pleased he has written this timely and useful book as a complete reference and explanation update on these important subjects.
James Hollis, Managing Director, Cutter Associates

Though the subject matter is complex, Carl strikes the right balance between theory and reality. This book should have a permanent spot on the desk of every performance practitioner. I will refer to it often.
Karyn Vincent, CFA, Vincent Performance Services LLC

Whether you are a provider or a user of Performance Analysis, this book is well structured, informative and truly a practical guide in every sense.
Gary Hilldrup, Global Head Performance, Risk & Client Reporting, Fortis Investments

This is a wonderful book for anyone who works with portfolio management - and especially those who compile or analyse performance results. It is a treasure trove of all the important formulas for calculating portfolio returns, benchmark returns, portfolio risk or performance attribution.
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