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Practical Portfolio Performance Measurement and Attribution, Second Edition by Carl R. Bacon

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Index
130/30 fund
Adjusted Sharpe ratio
Ankrim and Hensel
annualised returns
arithmetic average
geometric average
appraisal ratio
arithmetic excess return
asset allocation
arithmetic
geometric
asset-weighted dispersion
Association for Investment Management and Research (AIMR)
attribution
annualisation
arithmetic
asset allocation
Brinson and Fachler
Brinson, Hood and Beebower
buy/hold
campisi framework
currency allocation see Ankrim and Hensel and Karnosky and Singer
Davies and Laker
definition
evolution
fixed income
geometric
index futures
interaction
leverage
multi-level
off-benchmark
options
return-based
risk-adjusted
security-level
security selection
selectivity
standards
transaction-based
weighted duration
average capital invested
balanced attribution
Bank Administration Institute
bear beta
benchmark attributes
Bernardo Ledoit ratio
beta
beta timing ratio
blended indexes
Brinson and Fachler
Brinson, Hood and Beebower
bull beta
Burke ratio
modified
Calmar ratio
Capital Asset Pricing Model (CAPM)
capped indexes
capture indicator
down
up
carve-outs
chain linking
cherry picking
classical time weighted
coefficient of determination
compliance risk
composites
continuously compounded returns
contract for difference
contribution analysis
convertible bond
convexity
effective
modified
Cornish-Fisher
correlation
counterparty risk
covariance
credit rating agencies
crystallisation
currency allocation
currency forward
currency overlay
currency surprise
customised indexes
d ratio
damping ...

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