Practical Portfolio Performance Measurement and Attribution

Explore different measures of ex-post risk-adjusted performance measurement and learn to choose the correct one  In the newly revised Second Edition of  Practical Risk-Adjusted Performance Measurement , accomplished risk and investment expert Carl R. Bacon delivers an insightful, accessible, and real-world guide to ex-post risk measurement. The author bridges the gap between theory and practice, showing you how to apply the former to the latter without introducing unnecessary mathematical complexity.  The book describes the fundamentals of risk in the asset management context and the descriptive statistics used to describe it. It builds on that foundation with detailed examinations of concepts like regression, drawdown, and partial moments, before moving on to topics like fixed income risk and Prospect Theory.  With helpful additions that include recently developed measures of risk, supplementary explanatory sections, and six brand-new chapters, this book also offers:  A practical classification of all ex-post risk measures and how they connect to one another An explanation of how risk-adjusted performance measures impact performance fees A discussion of risk measure dashboard designs Instructions on how appraisal measures should be used for manager selection Perfect for portfolio managers, asset owners, risk controllers, and investment performance analysts,  Practical Risk-Adjusted Performance Measurement  is an indispensable resource for anyone looking for a hands-on exploration of the buy-side, asset management perspective.

FAIR VALUE MEASUREMENT Practical Guidance and Implementation «Writing Fair Value Measurement was a monumental task fraught with controversy not only in the U.S., but also abroad. Having coauthored a book with Mark as well as written one myself, I was even more impressed that Mark was able to navigate these fair value minefields and produce a work that will be a tremendous help to accountants and non-accountants alike. If you are looking for a 'one-stop' book on fair value measurement, this is it!» —Neil J. Beaton, CPA/ABV, CFA, ASA, Managing Director, Valuation Services, Alvarez & Marsal «In recent years, the FASB and the IASB have added many requirements for various assets and liabilities to be measured at fair value. In this book, Zyla clearly describes how to implement fair value measurement and how investors and creditors should interpret it. The crisp writing and illuminating analysis will help readers to grasp the essence of fair value accounting and to apply it wisely.» —J. Edward Ketz, Associate Professor of Accounting, Pennsylvania State University «The focus of the book is on fair value measurement based on level 3 inputs. This is a critical area of valuations for financial reporting due to a false comfort given by routine application of evaluating models and assumptions without real possibilities of calibration. Mark Zyla offers an extraordinary help in understanding the reliability of the inputs and the outputs of the different methodologies and the inherent biases in each of them. The book is a precious support for better valuation both in U.S. GAAP and in IFRS fair value reporting.» —Mauro Bini, Full Professor of Corporate Finance, Bocconi University; Chairman, Management Board OIV (Organismo Italiano di Valutazione) Essential guidance on the fair value measurement process Now in a second edition, Fair Value Measurement: Practical Guidance and Implementation helps you succeed in understanding the fair value accounting rules that entities must follow. The result is a resource that you can rely on to understand the importance of valuation and the concepts that define it. In basic, nontechnical language, author Mark Zyla presents practical direction for best practices of financial valuation as well as for understanding the many FASB pronouncements involving fair value. An essential guide for auditors and valuation specialists, Fair Value Measurement: Practical Guidance and Implementation, Second Edition brings you up to speed on what fair value really means.

For many years asset management was considered to be a marginal activity, but today, it is central to the development of financial industry throughout the world. Asset management's transition from an «art and craft» to an industry has inevitably called integrated business models into question, favouring specialisation strategies based on cost optimisation and learning curve objectives. This book connects each of these major categories of techniques and practices to the unifying and seminal conceptual developments of modern portfolio theory. In these bear market times, performance evaluation of portfolio managers is of central focus. This book will be one of very few on the market and is by a respected member of the profession. Allows the professionals, whether managers or investors, to take a step back and clearly separate true innovations from mere improvements to well-known, existing techniques Puts into context the importance of innovations with regard to the fundamental portfolio management questions, which are the evolution of the investment management process, risk analysis and performance measurement Takes the explicit or implicit assumptions contained in the promoted tools into account and, by so doing, evaluate the inherent interpretative or practical limits

Many investment books include a chapter or two on investment performance measurement or focus on a single aspect, but only one book addresses the breadth of the field. Investment Performance Measurement is a comprehensive guide that covers the subjects of performance and risk calculation, attribution, presentation, and interpretation. This information-packed book covers a wide range of related topics, including calculation of the returns earned by portfolios; measurement of the risks taken to earn these returns; measurement of the risk and return efficiency of the portfolio and other indicators of manager skill; and much more. By reviewing both the concepts of performance measurement and examples of how they are used, readers will gain the insight necessary to understand and evaluate the management of investment funds. Investment Performance Measurement makes extensive use of fully worked examples that supplement formulas and is a perfect companion to professional courses and seminars for analysts. Bruce J. Feibel, CFA, is Product Manager at Eagle Investment Systems, an investment management software provider located in Newton, Massachusetts. He is responsible for overseeing the development of Eagle's investment performance measurement, attribution, and AIMR/GIPS compliance software. Prior to joining Eagle, Mr. Feibel was a principal at State Street Global Advisors. He earned his BS in accounting from the University of Florida.

An introductory and intermediate level handbook written in pragmatic style to explain residual stresses and to provide straightforward guidance about practical measurement methods. Residual stresses play major roles in engineering structures, with highly beneficial effects when designed well, and catastrophic effects when ignored. With ever-increasing concern for product performance and reliability, there is an urgent need for a renewed assessment of traditional and modern measurement techniques. Success critically depends on being able to make the most practical and effective choice of measurement method for a given application. Practical Residual Stress Measurement Methods provides the reader with the information needed to understand key residual stress concepts and to make informed technical decisions about optimal choice of measurement technique. Each chapter, written by invited specialists, follows a focused and pragmatic format, with subsections describing the measurement principle, residual stress evaluation, practical measurement procedures, example applications, references and further reading. The chapter authors represent both international academia and industry. Each of them brings to their writing substantial hands-on experience and expertise in their chosen field. Fully illustrated throughout, the book provides a much-needed practical approach to residual stress measurements. The material presented is essential reading for industrial practitioners, academic researchers and interested students. Key features: • Presents an overview of the principal residual stress measurement methods, both destructive and non-destructive, with coverage of new techniques and modern enhancements of established techniques • Includes stand-alone chapters, each with its own figures, tables and list of references, and written by an invited team of international specialists

Praise for Investment Performance Measurement «This volume contains the insights of more than fifty prominent authorities on performance measurement. It is a must-have, must-read book for anyone involved in measuring, analyzing, or explaining investment results.» —John Schlifske, CFA, President and Chief Executive Officer, Russell Investments «Investment Performance Measurement: Evaluating and Presenting Results should be required reading for investors as well as investment performance professionals. This collection conveniently brings together some of the definitive texts on performance and risk analysis that are core to the investment profession.» —Frances Barney, CFA, Managing Director, BNY Mellon Asset Servicing Performance & Risk Analytics «It is vitally important that performance analysts remain well versed in the academic work that has been published in their field. This book is unique in that it assembles some of the most important papers in the field of performance measurement into one volume. This book should be read by all performance analysts who are serious about advancing in their field.» —Neil Riddles, CFA, CIPM, Hansberger Global Investors, Inc.

UMTS Performance Measurement is a practical guide that explains how to identify and measure the main problems seen in today's UMTS live networks and will make performance measurement results gathered in the UTRAN environment understandable for the reader. It provides a fundamental background for daily work in the field or lab, covering a wide range of performance measurements that help to troubleshoot and optimize the UTRAN environment. The content goes far beyond what has been defined by international standard bodies like 3GPP and closes the gap between international standards and definitions of network equipment manufacturers (NEM) and network operators. The emphasis is on definition of Key Performance Indicators (KPIs) and measurements that are not described in 3GPP standard documents, such as throughput measurements and the success/failure analysis of all possible handover types. Includes clear coverage of the fundamentals of performance measurement software architecture and ways to collect and present statistical data Contains numerous call flow diagrams, conversion tables, protocol message examples and sample measurement results that can be used as reference for daily work in the field or lab Explains measurement limitations and how tolerances provide valuable information for validation and evaluation of measurement results Provides an overview of how performance measurement software works as well as information on how data streams are captured and analyzed, and how analysis results are aggregated and presented in graphic user interfaces and reports Providing a gateway into the world of UMTS-specific measurement scenarios and a general overview of what can be defined and measured at an in-depth technical level, this book will appeal to those involved in network operation, planning, configuration and deployment, as well as consulting and training companies, students, technical journalists and measurement equipment manufacturers.

This book is written for all those involved in measurement of soil water phenomena, whether they be environmental scientists, field technicians, agronomists, meteorologists, hydrogeologists, foresters, physical geographers, civil or water engineers or students in these subjects. It contains a comprehensive description of all the major methods used for measurement of soil water content and potential, solute concentration, transport and balance of water and solutes, including recharge to groundwater aquifers. The emphasis is firmly on techniques which can be applied in the field or on samples obtained from the field. The theory and practice of the workings of the main instruments and methods available is described, along with practical tips on surmounting some of the main difficulties and explanations of many commonly encountered jargon words.

Fixed income attribution is by its very nature a complex and mathematically demanding topic, and there is little information available on this area. Fixed Income Attribution has been written to fill this tremendous void. This comprehensive resource contains both theoretical and practical information about running and understanding fixed income attribution, including the mathematics of attribution, practical limitations, benchmarks, presentation tools, and choosing and running an attribution system. Filled with insightful examples and expert advice, Fixed Income Attribution is the perfect source of information for those working in this complex environment.