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.
Portfolio Performance Measurement and Benchmarking provides detailed coverage of benchmarks for:
- U.S. equities
- Global and international equities
- Fixed income
- Real estate
The team of renowned authors offers illuminating opinions on the philosophy and development of equity indexes, while highlighting numerous mechanical problems inherent in building benchmarks and the implications of each one.
Before you make your next investment, be certain your return will be worth the risk with Portfolio Performance Measurement and Benchmarking.
Table of Contents
- Cover Page
- Portfolio Performance Measurement and Benchmarking
- Copyright Page
- 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
- Origins of U.S. Equity Benchmarks
- The Fundamental Meaning and Purposes of a Financial Index
- Where You Stand on the “Best” Indexes Depends on Where You Sit
- The Best Index Is Based on Four Principles of Useful Indexes
- Desirability Trade-Offs
- Issues with Index Construction
- The Paradox of Asset Management
- 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
- Title: Portfolio Performance Measurement and Benchmarking
- Release date: August 2009
- Publisher(s): McGraw-Hill
- ISBN: 9780071713665