Complete Guide to Portfolio Performance

Complete Guide to Portfolio Performance

Appraise, Analyze, Act

Francois, Pascal; Huebner, Georges

John Wiley & Sons Inc

05/2024

1088

Dura

Inglês

9781119930174

15 a 20 dias

Descrição não disponível.
Preface xxvii

Acknowledgements xxxi

About the Website xxxiii

Chapter 1 The Scope of Portfolio Performance 1

1.1 From Portfolio Management to Portfolio Performance 2

1.2 Rolling Out the Three Layers of Performance Evaluation 10

1.3 Returns, Risk, and Benchmarks 17

Key Takeaways and Equations 27

References 30

Part I Classical Performance Measurement 33

Chapter 2 Standard Portfolio Theory and the CAPM 35

2.1 The Portfolio Allocation Problem 37

2.2 The Market Portfolio and the Security Market Line 45

2.3 Implementing the CAPM 53

2.4 Multifactor Models 64

Key Takeaways and Equations 72

References 73

Chapter 3 Classical Portfolio Performance Measures 77

3.1 Peer Group Comparisons 80

3.2 The Sharpe Ratio 87

3.3 The Treynor Ratio, Jensen's Alpha, and the Modified Jensen's Alpha 100

3.4 The Information Ratio 114

Key Takeaways and Equations 126

References 129

Chapter 4 Selecting a Classical Performance Measure 131

4.1 Risk and Measurement Dimensions 134

4.2 Choosing a Measure for the Investor: The Normative Approach 140

4.3 Choosing a Measure for the Investor: The Positive Approach 154

4.4 Choosing a Measure for the Manager 167

Key Takeaways and Equations 177

References 180

Chapter 5 Pitfalls and Dangers with the Classical Performance Measures 183

5.1 Issues with the Standard Portfolio Theory Framework 185

5.2 Issues with the Capital Asset Pricing Model 197

5.3 Issues with the Sample 210

5.4 Issues with the Regressions 223

5.5 Issues with the Interpretations 233

Key Takeaways and Equations 247

References 250

Part II Developments in Performance Measurement 253

Chapter 6 The Classical Performance Measures Revisited 255

6.1 Refinements of the Sharpe Ratio 258

6.2 Alterations of the Sharpe Ratio 276

6.3 Alternative Versions of the other Classical Performance Measures 297

6.4 Classical Performance Measures as Risk-Adjusted Returns 305

Key Takeaways and Equations 318

References 321

Chapter 7 Performance Measurement in Multifactor Models 325

7.1 Types of Linear Multifactor Models 327

7.2 The Multifactor Alpha and the Multifactor Modified Alpha 345

7.3 Other Classical Performance Measures Adapted to Multifactor Models 357

7.4 Measuring Performance in Special Cases of Multifactor Models 364

Key Takeaways and Equations 373

References 376

Chapter 8 Performance Measurement with Market Timing 381

8.1 Piecewise-linear Regression Approach 385

8.2 Polynomial Regression Approach 400

8.3 Return-based Dynamic Exposures Approach 414

8.4 Holding-based Dynamic Exposures Approach 424

8.5 A Roadmap for Market Timing Performance Appraisal 434

Key Takeaways and Equations 440

References 443

Chapter 9 Preference-based Performance for the Standard Investor 447

9.1 The Structure of the Rational Investor's Preferences 450

9.2 Preference-based Performance in the Standard Portfolio Theory 456

9.3 Performance Measurement with Standard Utility functions 468

Key Takeaways and Equations 481

References 484

Chapter 10 Preference-based Performance for the Behavioral Investor 487

10.1 The Structure of the Behavioral Investor's Preferences 489

10.2 Performance Measurement with Behavioral Utility 494

10.3 Performance as Ratios of Gains Over Losses 504

10.4 Mental Accounting and Portfolio Performance 519

Key Takeaways and Equations 534

References 537

Part III Analyzing and Monitoring Performance 541

Chapter 11 Navigating the Maze of Portfolio Performance 543

11.1 The Spectrum of Performance Measurement 544

11.2 Ariadne's String Taxonomy 573

11.3 Analytical Sorting Approaches 581

11.4 Statistical Sorting Approaches 593

11.5 Dashboard 603

Key Takeaways and Equations 607

References 610

Chapter 12 Performance Design for Specific Asset Classes 613

12.1 Fixed-Income Portfolio Returns 615

12.2 Performance Framework for Fixed-Income Portfolios 622

12.3 Illiquid Alternative Investment Portfolio Returns 635

12.4 Performance Framework for Hedge Funds 643

12.5 Performance Framework for Private Equity 650

Key Takeaways and Equations 663

References 666

Chapter 13 The Granular Analysis of Performance 671

13.1 The Fundamentals of Performance Decomposition 678

13.2 Attributing Performance 686

13.3 Decomposing Risk-adjusted Performance Ratios 700

Key Takeaways and Equations 714

References 718

Chapter 14 Performance Attribution Methods 719

14.1 Attribution Analysis for a Single Period 724

14.2 Multiperiod Attribution Analysis 744

14.3 Extending the Scope of Attribution Analysis 752

14.4 Statistical Performance Attribution 774

Key Takeaways and Equations 785

References 789

Part IV Using Performance for Decision-making 791

Chapter 15 Disclosing and Verifying Portfolio Performance 793

15.1 The Global Investment Performance Standards 794

15.2 Communicating Fund Performance Effectively 802

15.3 Communicating Personal Portfolio Performance Effectively 813

15.4 Fund Ratings and Portfolio Analytics 818

Key Takeaways and Equations 829

References 831

Chapter 16 Applications of Performance in Investment Decisions 835

16.1 Using Performance to Determine the Investment Universe 837

16.2 Using Performance for Portfolio Strategy Design 847

16.3 Using Performance to Serve Investor Needs 867

16.4 Reconciling ESG Investments and Performance 886

Key Takeaways and Equations 901

References 905

Chapter 17 Performance and Predictability 907

17.1 What does Predictability Encompass? 910

17.2 Absolute Persistence 925

17.3 Relative Persistence with Recursive Portfolios 944

17.4 Relative Persistence with Matched Rankings 961

Key Takeaways and Equations 972

References 975

Chapter 18 Agency Issues and Illusion of Performance 979

18.1 The Standard Agency Framework 980

18.2 How to Mitigate Agency Conflicts? 986

18.3 Performance Measurement and Agency Issues 998

18.4 Designing a Normative Performance Measure 1013

18.5 The Role of Luck in Performance Measurement 1023

Key Takeaways and Equations 1029

References 1031

Index 1037
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Investment performance; portfolio performance; investment performance measurement; portfolio performance measurement; performance evaluation; performance appraisal; portfolio performance analysis; performance attribution; performance persistence