Performance Evaluation and Attribution of Security Portfolios

Chapter 11

Indices and the Construction of Benchmarks

Abstract

Managing and analyzing a portfolio against a given benchmark require detailed knowledge of the latter’s composition, and an attribution analysis for a portfolio typically requires selecting an appropriate benchmark. This chapter provides an overview of benchmarks commonly used in portfolio management and analysis. Some particularly important indices are described, and a number of further indices are given in tabular form. The criteria for selecting an index are also described.

Keywords

Portfolio, Benchmark, Attribution analysis, Market index, Index selection

11.1 Basic Concepts

Both managing and analyzing a portfolio against a given benchmark require the detailed knowledge of the latter’s ...