Overview

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, analyze portfolio behavior 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(R)) 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. PLEASE NOTE: When you purchase this title, the accompanying PDF will be available in your Audible Library along with the audio.

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Carl Bacon CIPM, joined StatPro Group plc as Chairman in April 2000. StatPro is a platform for Portfolio Analytics, valuation, Reporting and Research for the investment community. Carl also runs his own consultancy business providing advice to asset manager on various risk and performance measurement issues. Prior to joining StatPro Carl was Director of Risk Control and Performance at Foreign & Colonial Management Ltd, Vice President Head of Performance (Europe) for J P Investment Management inc. and Head of Performance for Royal Insurance Asset Management. Carl hold a B.Sc.(Hons) in Mathematics from Manchester University and is a member of the Advisory Board of the Journal of Performance Measurement. A founder member of both the Investment Performance Council and GIPS, Carl is a member of the GIPS Executive Committee and ex-chair of both the Verification and Interpretations sub-committees and founder of the Freedom Index Company. Carl is the author of Practical Portfolio Performance Measurement & Attribution (Book of the year 2004 www.riskbook.com), Practical Risk-adjusted Performance Measurement, numerous articles and papers and editor of Advanced Portfolio Attribution Analysis. Notable papers include: Excess Returns Arithmetic or Geometric? - Journal of Performance Measurement How sharp is the Sharpe Ratio? Alpha to Omega, Downside to Drawdown, Appraisal to Pain - StatPro Whitepaper A Periodic Table of Risk Measures - Journal of Performance Measurement

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