Chapter 8 Introducing Performance Measurement
In this chapter, we explain the role of performance measurement in the investment process and for the management of financial institutions in general. We demonstrate how to
- calculate money- and time-weighted performance measures for assessing overall portfolio performance
- define customised equity style benchmarks
- calculate and use classic risk adjusted performance measures for comparing portfolios
- perform attribution analysis using classic equity portfolio attribution tools
- calculate and use RAROC risk adjusted return on capital measures to compare performance at a company level
Finally, we explain the basic portfolio optimisation process and its place in the investment performance cycle.
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