Performance measurement in finance firms, funds and managers
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 unive...
| Otros Autores: | , |
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Oxford :
Butterworth-Heinemann
2002.
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| Edición: | 1st edition |
| Colección: | Quantitative finance series.
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009672607006719 |
Tabla de Contenidos:
- Front Cover; Performance Measurement in Finance; Copyright Page; Contents; Preface; List of contributors; Chapter 1. The financial economics of performance measurement; 1.1 Introduction; 1.2 The Sharpe ratio; 1.3 The Treynor measure; 1.4 The Jensen measure; 1.5 The Treynor-Mazuy measure; 1.6 Parametric and non-parametric tests of market timing abilities; 1.7 The positive period weighting measure; 1.8 Conditional performance evaluation; 1.9 The 4-index model of performance evaluation; 1.10 Carhart's 4-factor model; 1.11 Risk-adjusted performance; 1.12 Style/risk-adjusted performance
- 1.13 The Sharpe style analysis1.14 Three innovative measures that capture the different faces of a manager's superior abilities; 1.15 Dynamics of portfolio weights: passive and active management; 1.16 The portfolio change measure; 1.17 The momentum measures; 1.18 The herding measures; 1.19 Stockholdings and trades measure; 1.20 Conclusion; References; Chapter 2. Performance evaluation: an econometric survey; 2.1 Introduction; 2.2 Statistical properties of performance measures; 2.3 Mutual funds style; 2.4 International empirical results of performance; 2.5 Conclusion and future research
- ReferencesChapter 3. Distribution of returns generated by stochastic exposure: an application to VaR calculation in the futures markets; 3.1 Introduction; 3.2 Distribution of performance returns; 3.3 Implications for VaR calculations; 3.4 Actively trading the futures markets; 3.5 Conclusion; Acknowledgements; References; Chapter 4. A dynamic trading approach to performance evaluation; 4.1 Introduction; 4.2 Traditional performance measures; 4.3 A new performance measure; 4.4 Sampling error; 4.5 Hedge funds and hedge fund returns; 4.6 Evaluation of hedge fund index performance; 4.7 Conclusion
- ReferencesChapter 5. Performance benchmarks for institutional investors: measuring, monitoring and modifying investment behaviour; 5.1 Introduction; 5.2 What benchmarks are currently used by institutional investors?; 5.3 What are the alternatives?; 5.4 Benchmarks based on liabilities; 5.5 What happens in other countries?; 5.6 Conclusion; 5.7 Appendix: Deriving the power function; References; Chapter 6. Simulation as a means of portfolio performance evaluation; 6.1 Introduction; 6.2 Objectives of simulations; 6.3 Methodology; 6.4 Advantages of simulation; 6.5 Examples of portfolio simulation
- 6.6 Applications6.7 Summary and conclusions; Chapter 7. An analysis of performance measures using copulae; 7.1 Introduction; 7.2 Performance measures; 7.3 Empirical results; 7.4 Copulae; 7.5 An aggregate performance measure; 7.6 Conclusions; References; Chapter 8. A clinical analysis of a professionally managed portfolio; 8.1 Introduction; 8.2 The portfolio; 8.3 The data; 8.4 The analyses; 8.5 Conclusions; Acknowledgement; References; Chapter 9. The intertemporal performance of investment opportunity sets; 9.1 Introduction; 9.2 Investment opportunity sets with continuous risk structures
- 9.3 Measuring the performance of investment opportunity sets
