Overview
Main description
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
I: Measuring performance
II: Measuring risk
III: Portfolio return and risk
IV: Performace attribution
V: Benchmarking performance
VI: Determining investment style with effective mix
VII: CFA Institute standards for performance presentation
(There will be 37 chapters)
Author comments
Jon A. Christopherson, Ph.D., is
a research fellow for Russell Investments,
where he has a solid
record of intellectual innovation.
He has been a member of the
editorial advisory boards of The
Journal of Portfolio Management and The Journal of
Investment Consulting.
David R. Cariño, Ph.D., is a research
fellow for Russell Investments.
He was the architect of
the Russell-Yasuda Kasai model,
which received a Franz Edelman
Award by The Institute for
Operations Research and the Management
Sciences. Cariño serves on the advisory board
of The Journal of Performance Measurement.
Wayne E. Ferson, Ph.D., holds the
Ivadelle and Theodore Johnson
Chair in Banking and Finance
at the USC Marshall School of
Business and is the former John
L. Collins Chair in Finance at
the Carroll School of Management at Boston
College. He is widely known in academic circles,
has been published in the best academic
journals, and has served on several prestigious
editorial boards.
Back cover copy
The first comprehensive guide
to performance assessment and equity
benchmark construction for your portfolio
Portfolio Performance Measurement and Benchmarking helps institutional
investors create a smart system for accurate performance evaluation of managed
asset portfolios.
Striking a useful balance between scholarly groundwork and real-world
practicality, this state-of-the-art book gives readers a potent combination of
cornerstone knowledge on measuring return and risk with practical guidance
on evaluating the performance of a variety of investment strategies.
Packed with applicable examples demonstrating how to correctly calculate
performance statistics and properly interpret the results, Portfolio Performance
Measurement and Benchmarking features:
- Thorough coverage of a wide variety of performance-measurement
methodologies and evaluation techniques
- Expert explanations of the mathematics underlying each method
- Specific calculation and evaluation examples from the real world
From the basics of asset class return expectations and portfolio comparisons to
up-to-date information on investment styles and global index construction, this
go-to guide provides a useful depth of coverage in easy-to-understand terms.
Whether you’re investing in a single equity market or managing a multiple
asset class fund, Portfolio Performance Measurement and Benchmarking is a
must-have resource for determining which investment strategies offer the most
profitable rewards relative to their risk.
