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Author: Yindeng Jiang
Publisher:
ISBN:
Category :
Languages : en
Pages : 22
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Book Description
A number of methods have been developed to link single-period arithmetic attribution results. We present the first institutional portfolio empirical study comparing the most referenced methods for producing additive multiperiod attributes from their single-period counterparts. While our findings suggest the methods typically produce similar results, we find a pattern in the way the methods' results relate to one another. We find the Modified Frongello Method and Cariño Method to produce nearly identical results, the Frongello and Cariño methods to cluster and the Naïve and Menchero methods to be outliers.
Author: Yindeng Jiang
Publisher:
ISBN:
Category :
Languages : en
Pages : 22
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Book Description
A number of methods have been developed to link single-period arithmetic attribution results. We present the first institutional portfolio empirical study comparing the most referenced methods for producing additive multiperiod attributes from their single-period counterparts. While our findings suggest the methods typically produce similar results, we find a pattern in the way the methods' results relate to one another. We find the Modified Frongello Method and Cariño Method to produce nearly identical results, the Frongello and Cariño methods to cluster and the Naïve and Menchero methods to be outliers.
Author: Yindeng Jiang
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
A number of methods have been developed to link single-period arithmetic attribution results, including the Cariño logarithmic method, the Frongello methods, the Menchero method and some Ad Hoc methods. We point out an omitted but necessary property, the associative property, which renders the Menchero and the Ad Hoc methods invalid. We present evidence that non-associative methods violate another necessary property which we refer to as "sign preservation." These distinct but related properties provide strong support for the use of the Cariño and Frongello methods, which often produce similar results.
Author: Andrei Reztsov
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
I am following the recent discussion on a new Arithmetic Linking Algorithm gF (which is equivalent to a Geometric one and was presented in the article “Geometric and Arithmetic Approaches to Attribution Linking are Equivalent” by Andrei Reztsov in the Winter 2011/2012 issue of the Journal of Performance Measurement, Volume 16, Number 2). As an answer to numerous requests from Performance Measurement professionals I developed a simple MATLAB code that provides results for large values of L (i.e. number of months to link or number of days, if we are looking for monthly value through the linking of daily values). As our code is free and suppose to published soon in JPM, every Performance Measurement practitioner (even not a computational specialist or the person with no knowledge of MATLAB) could easily use the code and obtain required results in milliseconds. The executable version of this software is also available upon request; in this case any PC without MATLAB could be used for the calculations. The new Arithmetic Linking Algorithm effectively “patches the existing holes” in other methods. Unlike the standard and modified Frongello Algorithms, the new method is independent of the month order. Compared to Carino and Menchero, this is a linear and non-smoothing construction. The new algorithm is simple, easy to use, and hence more appropriate for practitioners without advanced training in mathematics. It should eventually replace whatever Arithmetic algorithm is used by Performance Measurement specialists (i.e. Frogello. Carino, Menchero).
Author: Carl R. Bacon
Publisher: CFA Institute Research Foundation
ISBN: 1944960902
Category : Business & Economics
Languages : en
Pages : 68
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Book Description
The objective of performance attribution is to explain portfolio performance relative to a benchmark, identify the sources of excess return, and relate those sources to active decisions by the portfolio manager. This review charts the development of attribution from its beginning with Fama decomposition in the 1970s, through its foundations in the 1980s, into its issues of multiperiod and multicurrency attribution in the 1990s, and ending on its more detailed models for fixed-income and risk-adjusted attribution in recent years. Types of attribution (including returns based, holdings based, and transaction based) are also discussed as is money-weighted attribution and developments associated with notional funds.
Author: Joseph Floyd Sáenz
Publisher:
ISBN:
Category :
Languages : en
Pages : 94
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Book Description
This work is comprised of three separate works which are summarized as follows: 1.) We develop a new method to estimate private equity funds' market beta from cash flows. Our methodology extends the widely known public market equivalent calculation to a cross-sectional regression. By simply regressing funds' internal rates of return on their paired market internal rates of return, we are able to estimate private equity market betas. For venture funds, we find a high market beta. For buyout funds, we find a low beta. Though we have a small sample, our results fall in line with those recently reported in the literature. 2.) We extend the Brinson et al. (1986) performance attribution framework to support institutional-specific requirements, including a hierarchical structure and multiple benchmark styles. By attributing performance to four statistics (e.g. manager alpha, portfolio construction, tactical and strategic), we are able to remove the interaction term, which is a commonly referred to shortcoming of Brinson attribution. We subsequently modify Frongello (2002) linking to produce pro-rated multiperiod attributes which sum to meaningful statistics using notional portfolios of multitier excess returns. 3.) A number of methods have been developed to link single-period arithmetic attribution results. We present the first institutional portfolio empirical study comparing the most referenced methods for producing additive multiperiod attributes from their single-period counterparts. While our findings suggest the methods typically produce similar results, we find a pattern in the way the methods' results relate to one another. We find the Modified Frongello Method and Cariño Method to produce nearly identical results, the Frongello and Cariño methods to cluster and the Naïve and Menchero methods to be outliers.
Author: Marc Vogel
Publisher: diplom.de
ISBN: 3832486690
Category : Business & Economics
Languages : en
Pages : 157
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Book Description
Inhaltsangabe:Introduction: Within this thesis fundamentals of performance attribution are treated as well as the practical implementation of such a system. However, for many people who already asked to receive a copy of this work, the most important part will be the analysis of the (partly internet based) questionnaire revolving around performance attribution. The theoretical part contains the fundamentals of portfolio theory and the constructive CAPM, followed by basics of portfolio management. Next topics are the estimation of risk and performance for investment portfolios. The finishing touch is done by introduction of performance attribution theories handling both, equity and bond attribution. Within the practical part a short analysis of the affected asset management company is performed, accompanied by research of performance presentation. A questionnaire has been sent to 80 non-banks of the German HDAX index as well as to all members of the BVI. Furthermore an internet based version of the questionnaire has been introduced to a large number of institutional clients. The analysis of this questionnaire is one of the topics of this work. For the affected company the results from the questionnaire are used to identify the competitors possibilities and the clients needs, resulting in fundamental ideas for the catalogue of requirements. The analysis of the investment process and based on this the choice and the implementation of a performance attribution system are the last parts of this work. Still it has to be mentioned that recommendations for organizational changes are part of implementation. There are three reasons why this thesis has been prepared. The first one is quite trivial. As performance attribution is more and more present in the market, deeper knowledge of it shall be gained for the affected company. Primarily the department for quantitative research and information technology has to come up with this knowledge to act as a multiplier and to ascertain technological and / or organizational requirements for its implementation. Another scope of this work is to determine the actual status of performance attribution performed by competitors. To get this information competition is referred to and likewise clients of competitors are interviewed. To benefit from this thesis not only the theoretical background will be looked upon, but there will be approaches to completely integrate performance attribution. Proposed usage will [...]
Author: Jose Menchero
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
This article presents a set of qualitative characteristics and quantitative properties for arithmetic multiperiod performance attribution. Such characteristics and properties are essential for ensuring a sound and accurate linking of attribution effects over time. A comparison of various linking algorithms within this framework shows that linking algorithms that are not consistent with this set of quantitative properties can exhibit spurious effects that distort the attribution analysis.
Author: Yuri K. Shestopaloff
Publisher: AKVY PRESS
ISBN: 0980966701
Category : Business & Economics
Languages : en
Pages : 593
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Book Description
Author: Carl R. Bacon
Publisher: John Wiley & Sons
ISBN: 0470059281
Category : Business & Economics
Languages : en
Pages : 400
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Book Description
Performance-Messung und Performance-Attribution als Instrumente der Leistungsmessung und Renditeermittlung von Anlagestrategien werden aus Anwendersicht dargestellt. Tipps zur Auswahl der richtigen Anlagekomponenten und eine Präsentation der neuesten Methoden und Standards runden diese praktische Einführung ab.
Author: Philip Lawton, CIPM
Publisher: John Wiley & Sons
ISBN: 0470395028
Category : Business & Economics
Languages : en
Pages : 997
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Book Description
Investment Performance Measurement Over the past two decades, the importance of measuring, presenting, and evaluating investment performance results has dramatically increased. With the growth of capital market data services, the development of quantitative analytical techniques, and the widespread acceptance of Global Investment Performance Standards (GIPS®), this discipline has emerged as a central component of effective asset management and, thanks in part to the Certificate in Investment Performance Measurement (CIPM) program, has become a recognized area of specialization for investment professionals. That's why Investment Performance Measurement: Evaluating and Presenting Results the second essential title in the CFA Institute Investment Perspectives series has been created. CFA Institute has a long tradition of publishing content from industry thought leaders, and now this new collection offers unparalleled guidance to those working in the rapidly evolving field of investment management. Drawing from the Research Foundation of CFA Institute, the Financial Analysts Journal, CFA Institute Conference Proceedings Quarterly, CFA Magazine, and the CIPM curriculum, this reliable resource taps into the vast store of knowledge of some of today's most prominent thought leaders from industry professionals to respected academics who have focused on investment performance evaluation for a majority of their careers. Divided into five comprehensive parts, this timely volume opens with an extensive overview of performance measurement, attribution, and appraisal. Here, you'll become familiar with everything from the algebra of time-weighted and money-weighted rates of return to the objectives and techniques of performance appraisal. After this informative introduction, Investment Performance Measurement moves on to: Provide a solid understanding of the theoretical grounds for benchmarking and the trade-offs encountered during practice in Part II: Performance Measurement Describe the different aspects of attribution analysis as well as the determinants of portfolio performance in Part III: Performance Attribution Address everything from hedge fund risks and returns to fund management changes and equity style shifts in Part IV: Performance Appraisal Recount the history and explain the provisions of the GIPS standards with attention paid to the many practical issues that arise in the course of its implementation in Part V: Global Investment Performance Standards Filled with invaluable insights from more than fifty experienced contributors, this practical guide will enhance your understanding of investment performance measurement and put you in a better position to present and evaluate results in the most effective way possible.
