Portfolio Performance Measurement and Benchmarking

In order to make sound investment choices, investors must know the projected return on investment in relation to the risk of not being paid. Benchmarks are excellent evaluators, but the failure to choose the right investing performance benchmark often leads to bad decisions or inaction, which inevitably results in lost profits.The first book of its kind, Portfolio Performance Measurement and Benchmarking is a complete guide to benchmarks and performace evaluation using benchmarks. In one inclusive volume, readers get foundational coverage on benchmark construction, as well as expert insight into specific benchmarks for asset classes and investment styles.Starting with the basics?such as return calculations and methods of dealing with cash flows?this thorough book covers a wide variety of performance measurement methodologies and evaluation techniques before moving into more technical material that deconstructs both the creation of indexes and the components of a desirable benchmark.

Preface

Chapter 1 : What is Performance and Benchmarking?
Chapter 2 : Asset Class Return Expectations
Chapter 3 : Returns Without Cash Flows
Chapter 4 : Average Returns
Chapter 5 : Returns in the Presence of Cash Flows
Chapter 6 : Comparing Two Portfolio Returns
Chapter 7 : Some Foundations
Chapter 8 : Estimating the Elements of the CAPM
Chapter 9 : What is Risk?
Chapter 10 : Risk-Adjusted Return Measures
Chapter 11 : Fixed-Income Risk
Chapter 12 : Conditional Performance Evaluation
Chapter 13 : Market Timing
Chapter 14 : Factor Models
Chapter 15 : Factors of Equity Returns in the United States
Chapter 16 : Factor Model (Barra) Performance Attribution
Chapter 17 : Contributions to Return
Chapter 18 : Performance Attribution
Chapter 19 : Linking Attribution Effects
Chapter 20 : Benchmarks and Knowledge
Chapter 21 : Elements of a Desirable Benchmark
Chapter 22 : Index Weighting
Chapter 23 : Practical Issues with Building Indexes
Chapter 24 : Styles, Factors, and Equity Benchmarks
Chapter 25 : Equity Style Indexes : Tools for Better Performance Evaluation and Plan Management
Chapter 26 : Russell Style index Methodology
Chapter 27 : U.S. Equity Benchmarks
Chapter 28 : Global and International Equity Benchmarks
Chapter 29 : Fixed-Income Benchmarks
Chapter 30 : Real Estate Benchmarks
Chapter 31 : Hedge Fund Universes
Chapter 32 : Determining Investment Style
Chapter 33 : GIPS : Global Investment Performance Standards

Index