Performance Measurement in Finance

Performance Measurement in Finance

by John Knight, Stephen Satchell
Released September 2002
Publisher(s): Butterworth-Heinemann
ISBN: 9780080497631

Read it now on the O’Reilly learning platform with a 10-day free trial.

O’Reilly members get unlimited access to books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.

Start your free trial

Book description

The distinction between out-performance of an Investment fund or plan manager vs rewards for taking risks is at the heart of all discussions on Investment fund performance measurement of fund managers. This issue is not always well-understood and the notion of risk adjusting performance is not universally accepted. Performance Measurement in Finance addresses this central issue.

The topics covered include evaluation of investment fund management, evaluation of the investment fund itself, and stock selection performance. The book also surveys and critiques existing methodologies of performance measurement and covers new innovative approaches to performance measurement. The contributors to the text include both academics and practitioners providing comprehensive coverage of the topic areas.

Performance Measurement in Finance is all about how to effectively measure financial performance of the fund manager and investment house managers, what measures need to be put in place and technically what works and what doesn't. It covers risk, and what's acceptable and what isn't, how, in short, to manage risk.

Includes practical information to enable Investment/Portfolio Managers to understand and evaluate fund managers, the funds themselves, and Investment firms
Provides a full overview of the topic as well as in-depth technical analysis

Table of contents

  1. Front Cover
  2. Performance Measurement in Finance
  3. Copyright Page
  4. Contents (1/2)
  5. Contents (2/2)
  6. Preface
  7. List of contributors (1/2)
  8. List of contributors (2/2)
  9. Chapter 1. The financial economics of performance measurement
    1. 1.1 Introduction
    2. 1.2 The Sharpe ratio
    3. 1.3 The Treynor measure
    4. 1.4 The Jensen measure (1/2)
    5. 1.4 The Jensen measure (2/2)
    6. 1.5 The Treynor–Mazuy measure
    7. 1.6 Parametric and non-parametric tests of market timing abilities (1/2)
    8. 1.6 Parametric and non-parametric tests of market timing abilities (2/2)
    9. 1.7 The positive period weighting measure
    10. 1.8 Conditional performance evaluation
    11. 1.9 The 4-index model of performance evaluation
    12. 1.10 Carhart’s 4-factor model
    13. 1.11 Risk-adjusted performance
    14. 1.12 Style/risk-adjusted performance
    15. 1.13 The Sharpe style analysis
    16. 1.14 Three innovative measures that capture the different faces of a manager’s superior abilities
    17. 1.15 Dynamics of portfolio weights: passive and active management
    18. 1.16 The portfolio change measure
    19. 1.17 The momentum measures
    20. 1.18 The herding measures
    21. 1.19 Stockholdings and trades measure
    22. 1.20 Conclusion
    23. References
  10. Chapter 2. Performance evaluation: an econometric survey
    1. 2.1 Introduction
    2. 2.2 Statistical properties of performance measures (1/3)
    3. 2.2 Statistical properties of performance measures (2/3)
    4. 2.2 Statistical properties of performance measures (3/3)
    5. 2.3 Mutual funds style
    6. 2.4 International empirical results of performance
    7. 2.5 Conclusion and future research
    8. References
  11. Chapter 3. Distribution of returns generated by stochastic exposure: an application to VaR calculation in the futures markets
    1. 3.1 Introduction
    2. 3.2 Distribution of performance returns
    3. 3.3 Implications for VaR calculations
    4. 3.4 Actively trading the futures markets (1/2)
    5. 3.4 Actively trading the futures markets (2/2)
    6. 3.5 Conclusion
    7. Acknowledgements
    8. References
  12. Chapter 4. A dynamic trading approach to performance evaluation
    1. 4.1 Introduction
    2. 4.2 Traditional performance measures
    3. 4.3 A new performance measure
    4. 4.4 Sampling error
    5. 4.5 Hedge funds and hedge fund returns
    6. 4.6 Evaluation of hedge fund index performance
    7. 4.7 Conclusion
    8. References
  13. Chapter 5. Performance benchmarks for institutional investors: measuring, monitoring and modifying investment behaviour
    1. 5.1 Introduction
    2. 5.2 What benchmarks are currently used by institutional investors?
    3. 5.3 What are the alternatives?
    4. 5.4 Benchmarks based on liabilities (1/2)
    5. 5.4 Benchmarks based on liabilities (2/2)
    6. 5.5 What happens in other countries?
    7. 5.6 Conclusion
    8. 5.7 Appendix: Deriving the power function
    9. References
  14. Chapter 6. Simulation as a means of portfolio performance evaluation
    1. 6.1 Introduction
    2. 6.2 Objectives of simulations
    3. 6.3 Methodology
    4. 6.4 Advantages of simulation
    5. 6.5 Examples of portfolio simulation (1/2)
    6. 6.5 Examples of portfolio simulation (2/2)
    7. 6.6 Applications
    8. 6.7 Summary and conclusions
  15. Chapter 7. An analysis of performance measures using copulae
    1. 7.1 Introduction
    2. 7.2 Performance measures
    3. 7.3 Empirical results (1/3)
    4. 7.3 Empirical results (2/3)
    5. 7.3 Empirical results (3/3)
    6. 7.4 Copulae (1/3)
    7. 7.4 Copulae (2/3)
    8. 7.4 Copulae (3/3)
    9. 7.5 An aggregate performance measure
    10. 7.6 Conclusions
    11. References
  16. Chapter 8. A clinical analysis of a professionally managed portfolio
    1. 8.1 Introduction
    2. 8.2 The portfolio
    3. 8.3 The data
    4. 8.4 The analyses (1/5)
    5. 8.4 The analyses (2/5)
    6. 8.4 The analyses (3/5)
    7. 8.4 The analyses (4/5)
    8. 8.4 The analyses (5/5)
    9. 8.5 Conclusions
    10. Acknowledgement
    11. References
  17. Chapter 9. The intertemporal performance of investment opportunity sets
    1. 9.1 Introduction
    2. 9.2 Investment opportunity sets with continuous risk structures
    3. 9.3 Measuring the performance of investment opportunity sets
    4. 9.4 Rationality restrictions on conditional return moments and GMM estimation (1/2)
    5. 9.4 Rationality restrictions on conditional return moments and GMM estimation (2/2)
    6. 9.5 Empirical analyses (1/2)
    7. 9.5 Empirical analyses (2/2)
    8. 9.6 Concluding remarks
    9. Acknowledgements
    10. References and further reading
  18. Chapter 10. Performance measurement of portfolio risk based on orthant probabilities
    1. 10.1 Introduction
    2. 10.2 Orthant probability description of portfolio distributions (1/2)
    3. 10.2 Orthant probability description of portfolio distributions (2/2)
    4. 10.3 Implications for absolute and relative risk
    5. 10.4 Empirical comparisons using simulated long/short investment strategies (1/2)
    6. 10.4 Empirical comparisons using simulated long/short investment strategies (2/2)
    7. 10.5 Conclusions
    8. Acknowledgements
    9. References
  19. Chapter 11. Relative performance and herding in financial markets
    1. 11.1 Introduction
    2. 11.2 A model with linear technologies (1/2)
    3. 11.2 A model with linear technologies (2/2)
    4. 11.3 A market model (1/3)
    5. 11.3 A market model (2/3)
    6. 11.3 A market model (3/3)
    7. 11.4 Extensions
    8. 11.5 Concluding remarks
    9. 11.6 Appendix (1/2)
    10. 11.6 Appendix (2/2)
    11. References
  20. Chapter 12. The rate-of-return formula can make a difference
    1. 12.1 Introduction
    2. 12.2 Alternative methodologies to measure performance
    3. 12.3 Contrasting the methods (1/2)
    4. 12.3 Contrasting the methods (2/2)
    5. 12.4 Conclusion – summarizing the Findings
    6. References
  21. Chapter 13. Measurement of pension fund performance in the UK
    1. 13.1 Introduction
    2. 13.2 Previous evidence on performance of managed funds
    3. 13.3 Measuring fund performance
    4. 13.4 Data
    5. 13.5 Results (1/2)
    6. 13.5 Results (2/2)
    7. 13.6 Conclusions
    8. Acknowledgements
    9. References
  22. Index (1/3)
  23. Index (2/3)
  24. Index (3/3)

Product information

  • Title: Performance Measurement in Finance
  • Author(s): John Knight, Stephen Satchell
  • Release date: September 2002
  • Publisher(s): Butterworth-Heinemann
  • ISBN: 9780080497631