Carl R. Bacon's Books

Practical Portfolio Performance Measurement and Attribution

By: Carl R. Bacon

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Practical Portfolio Performance Measurement and Attribution

By: Carl R. Bacon

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. Focusing on the practical use and calculation of performance returns rather than the academic background, Practical Portfolio Performance Measurement and Attribution 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. 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. 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.

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488

Publisher

John Wiley & Sons

Published Date

ISBN 10

1119995477

ISBN 13

9781119995470

Practical Risk-Adjusted Performance Measurement

By: Carl R. Bacon

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Practical Risk-Adjusted Performance Measurement

By: Carl R. Bacon

Explore different measures of ex-post risk-adjusted performance measurement and learn to choose the correct one In the newly revised Second Edition of Practical Risk-Adjusted Performance Measurement, accomplished risk and investment expert Carl R. Bacon delivers an insightful, accessible, and real-world guide to ex-post risk measurement. The author bridges the gap between theory and practice, showing you how to apply the former to the latter without introducing unnecessary mathematical complexity. The book describes the fundamentals of risk in the asset management context and the descriptive statistics used to describe it. It builds on that foundation with detailed examinations of concepts like regression, drawdown, and partial moments, before moving on to topics like fixed income risk and Prospect Theory. With helpful additions that include recently developed measures of risk, supplementary explanatory sections, and six brand-new chapters, this book also offers: A practical classification of all ex-post risk measures and how they connect to one another An explanation of how risk-adjusted performance measures impact performance fees A discussion of risk measure dashboard designs Instructions on how appraisal measures should be used for manager selection Perfect for portfolio managers, asset owners, risk controllers, and investment performance analysts, Practical Risk-Adjusted Performance Measurement is an indispensable resource for anyone looking for a hands-on exploration of the buy-side, asset management perspective.

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320

Publisher

John Wiley & Sons

Published Date

ISBN 10

1119838878

ISBN 13

9781119838876

Performance Attribution: History and Progress

By: Carl R. Bacon

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Performance Attribution: History and Progress

By: Carl R. Bacon

The objective of performance attribution is to explain portfolio performance relative to a benchmark, identify the sources of excess return, and relate those sources to active decisions by the portfolio manager. This review charts the development of attribution from its beginning with Fama decomposition in the 1970s, through its foundations in the 1980s, into its issues of multiperiod and multicurrency attribution in the 1990s, and ending on its more detailed models for fixed-income and risk-adjusted attribution in recent years. Types of attribution (including returns based, holdings based, and transaction based) are also discussed as is money-weighted attribution and developments associated with notional funds.

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CFA Institute Research Foundation

Published Date

ISBN 10

1944960902

ISBN 13

9781944960902

Practical Risk-Adjusted Performance Measurement

By: Carl R. Bacon

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Practical Risk-Adjusted Performance Measurement

By: Carl R. Bacon

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320

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John Wiley & Sons

Published Date

ISBN 10

1119838878

ISBN 13

9781119838876

Practical Portfolio Performance Measurement and Attribution

By: Carl R. Bacon

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Practical Portfolio Performance Measurement and Attribution

By: Carl R. Bacon

A practitioner's guide to the role and implications of performance measurement and attribution analysis in asset management firms Practical Portfolio Performance Measurement and Attribution is a comprehensive reference and guide to the use and calculation of performance returns in the investment decision process. Focusing on real-world application rather than academic theory, this highly practical book helps asset managers and investors determine return on assets, analyse portfolio behaviour and improve performance. Author Carl R. Bacon clearly describes each of the methodologies used by performance analysts in today's financial environment whilst sharing valuable insights drawn from his experience as a Director of Performance Measurement & Risk Control. The third edition is revised to reflect recent developments in performance attribution and presentation standards. Fully up-to-date chapters cover the entire performance measurement process, including return calculations, attribution methodologies, risk measures, manager selection and presentation of performance information. Written by an acknowledged leader in global investment performance standards, performance attribution technique and risk measurement Aligns with the publication of the 2020 Global Investment Performance Standards (GIPS®) Explains the mathematical aspects of performance measurement and attribution in a clear, easy-to-understand manner Provides numerous practical and worked examples of attribution analysis and risk calculations supported by Excel spreadsheets Includes signposts for the future development of performance measurement Practical Portfolio Performance Measurement and Attribution, Third Edition, remains a must-have for performance analysts and risk controllers, portfolio managers, compliance professionals and all asset managers, owners, consultants and servicing firms.

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Page Count

569

Publisher

John Wiley & Sons

Published Date

ISBN 10

1119831962

ISBN 13

9781119831969

Book's by Carl R. Bacon

Practical Portfolio Performance Measurement and Attribution

Practical Portfolio Performance Measurement and Attribution

Practical Risk-Adjusted Performance Measurement

Practical Risk-Adjusted Performance Measurement

Performance Attribution: History and Progress

Performance Attribution: History and Progress

Practical Risk-Adjusted Performance Measurement

Practical Risk-Adjusted Performance Measurement

Practical Portfolio Performance Measurement and Attribution

Practical Portfolio Performance Measurement and Attribution

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