Practical Portfolio Performance Measurement and Attribution

A PRACTICAL GUIDE TO THE APPLICATION OF PERFORMANCE MEASUREMENT AND ATTRIBUTION ANALYSIS

In the thoroughly updated Third Edition of Practical Portfolio Performance Measurement and Attribution, risk and performance measurement expert Carl R. Bacon delivers a roadmap to the real-world application of performance measurement and attribution techniques. Full of worked examples, the book walks readers through the determination of a portfolio’s return on assets, the causes of its performance, and ways to improve performance.

You’ll explore a variety of detailed return calculation methods and learn to avoid common calculation issues and mistakes. You’ll also discover multiple attribution methodologies, risk measures, and consider the new 2020 Global Investment Performance Standards. Performance information and manager selection criteria are also presented.

With a heavy focus on applicable and straightforward guidance, Practical Portfolio Performance Measurement and Attribution is a must-read how-to guide for asset managers, owners, and consultants, as well as compliance professionals, portfolio managers, verifiers, and pension fund trustees seeking a one-stop reference on performance measurement and attribution.