"Practical Portfolio Performance Measurement and Attribution" by Carl R. Bacon
"Practical Portfolio Performance Measurement and Attribution" by Carl R. Bacon
The Wiley Finance Series
Wiley | 2004 | ISBN: 0470856796 | 242 pages | PDF | 5 Mb
The purpose of this book is an attempt to provide a reference of the available methodologies and to hopefully provide some consistency in their definition.
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The chapters of this book are structured in the same order as the performanc measurement process itself, namely:
1) Calculation of portfolio returns.
2) Comparison against a benchmark.
3) Proper assessment of the reward received for the risk taken.
4) Attribution of the sources of return.
5) Presentation and communicating the results.