Christopherson J.A., Carino D.R., Ferson W.E. Portfolio Performance Measurement and Benchmarking

McGraw-Hill, 2009. – 480 p. – ISBN: 0071496653, 9780071496650In 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.
About the Author
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.What Is Performance and Benchmarking?
Asset Class Return Expectations
Returns Without Cash Flows
Average Returns
Returns in the Presence of Cash Flows
Comparing Two Portfolio Returns
Some Foundations
Estimating the Elements of the CAPM
What Is Risk?
Risk-Adjusted Return Measures
Fixed-Income Risk
Conditional Performance Evaluation
Market Timing
Factor Models
Factors of Equity Returns in the United States
Factor Model (Barra) Performance Attribution
Contributions to Return
Performance Attribution
Linking Attribution Effects
Benchmarks and Knowledge
Elements of a Desirable Benchmark
Index Weighting
Practical Issues with Building Indexes
Styles, Factors, and Equity Benchmarks
Equity Style Indexes: Tools for Better Performance Evaluation and Plan Management
Russell Style Index Methodology
U.S. Equity Benchmarks
Global and International Equity Benchmarks
Fixed-Income Benchmarks
Real Estate Benchmarks
Hedge Fund Universes
Determining Investment Style
GIPS: Global Investment Performance Standards