Practical Portfolio Performance Measurement and Attribution / Edition 2

Hardcover (Print)
Used and New from Other Sellers
Used and New from Other Sellers
from $68.19
Usually ships in 1-2 business days
(Save 45%)
Other sellers (Hardcover)
  • All (14) from $68.19   
  • New (11) from $68.19   
  • Used (3) from $88.70   


Performance measurement and attribution are key tools in informing investment decisions and strategies. Performance measurement is the quality control of the investment decision process, enabling money managers to calculate return, understand the behaviour of a portfolio of assets, communicate with clients and determine how performance can be improved.

Focusing on the practical use and calculation of performance returns rather than the academic background, Practical Portfolio Performance Measurement and Attribution provides a clear guide to the role and implications of these methods in today’s financial environment, enabling readers to apply their knowledge with immediate effect.

Fully updated from the first edition, this book covers key new developments such as fixed income attribution, attribution of derivative instruments and alternative investment strategies, leverage and short positions, risk-adjusted performance measures for hedge funds plus updates on presentation standards. Complete with a CD containing worked examples for the majority of exhibits, the book covers the mathematical aspects of the topic in an accessible and practical way, making this book an essential reference for anyone involved in asset management.

Read More Show Less

Product Details

  • ISBN-13: 9780470059289
  • Publisher: Wiley
  • Publication date: 7/15/2008
  • Series: Wiley Finance Series , #546
  • Edition number: 2
  • Pages: 400
  • Product dimensions: 6.90 (w) x 9.80 (h) x 1.10 (d)

Meet the Author

CARL BACON CIPM, is Chairman of StatPro, a data and software development specialist providing services for the asset management industry. He also runs his own consultancy business providing advice to asset managers on various risk and performance measurement issues.

Prior to joining StatPro, Carl was Director of Risk Control and Performance at Foreign & Colonial Management Ltd., Vice President Head of Performance (Europe) for J P Morgan Investment Management Inc., and Head of Performance for Royal Insurance Asset Management.

Carl holds a B.Sc. Hons. in Mathematics from Manchester University, is an executive committee member of and also an associate tutor for 7city Learning. A founder member of both the Investment Performance Council and GIPS®, Carl is ex-chair of the IPC Interpretations & IPC Verification Sub-Committees, and is a member of the Advisory Board of the Journal of Performance Measurement.

Author of the first edition of Practical Portfolio Performance Measurement & Attribution published in 2004 as part of the Wiley Finance Series, Carl is also Editor of Advanced Portfolio Attribution Analysis.

Read More Show Less

Read an Excerpt

Click to read or download

Read More Show Less

Table of Contents


1. Introduction.

2. The Mathematics of Portfolio Return.

3. Benchmarks.

4. Risk.

5. Performance Attribution.

6. Multi-currency Attribution.

7. Fixed Income Attribution.

8. Multi-period Attribution.

9. Further Attribution Issues.

10. Performance Measurement for Derivatives.

11. Performance Presentation Standards.

Appendix A. Simple Attribution.

Appendix B. Multi-currency Attribution Methodology.

Appendix C. EIPC Guidance for Users of Attribution Analysis.

Appendix D. European Investment Performance Committee - Guidance on Performance Attribution Presentation.

Appendix E. The Global Investment Performance Standards.

Appendix F. Guidance Statement on Composite Definition.

Appendix G. Sample Global Investment Performance Standards Presentation.

Appendix H. Calculation Methodology Guidance Statement.

Appendix I. Definition of Firm Guidance Statement.

Appendix J. Treatment of Carve-outs Guidance Statement.

Appendix K. Significant Cash Flow Guidance Statement.

Appendix L. Guidance Statement on Performance Record Portability.

Appendix M. Guidance Statement on the Use of Supplemental Information.

Appendix N. Guidance Statement on Recordkeeping Requirements of the GIPS Standards.

Appendix O. Useful Websites.



Read More Show Less

Customer Reviews

Be the first to write a review
( 0 )
Rating Distribution

5 Star


4 Star


3 Star


2 Star


1 Star


Your Rating:

Your Name: Create a Pen Name or

Barnes & Review Rules

Our reader reviews allow you to share your comments on titles you liked, or didn't, with others. By submitting an online review, you are representing to Barnes & that all information contained in your review is original and accurate in all respects, and that the submission of such content by you and the posting of such content by Barnes & does not and will not violate the rights of any third party. Please follow the rules below to help ensure that your review can be posted.

Reviews by Our Customers Under the Age of 13

We highly value and respect everyone's opinion concerning the titles we offer. However, we cannot allow persons under the age of 13 to have accounts at or to post customer reviews. Please see our Terms of Use for more details.

What to exclude from your review:

Please do not write about reviews, commentary, or information posted on the product page. If you see any errors in the information on the product page, please send us an email.

Reviews should not contain any of the following:

  • - HTML tags, profanity, obscenities, vulgarities, or comments that defame anyone
  • - Time-sensitive information such as tour dates, signings, lectures, etc.
  • - Single-word reviews. Other people will read your review to discover why you liked or didn't like the title. Be descriptive.
  • - Comments focusing on the author or that may ruin the ending for others
  • - Phone numbers, addresses, URLs
  • - Pricing and availability information or alternative ordering information
  • - Advertisements or commercial solicitation


  • - By submitting a review, you grant to Barnes & and its sublicensees the royalty-free, perpetual, irrevocable right and license to use the review in accordance with the Barnes & Terms of Use.
  • - Barnes & reserves the right not to post any review -- particularly those that do not follow the terms and conditions of these Rules. Barnes & also reserves the right to remove any review at any time without notice.
  • - See Terms of Use for other conditions and disclaimers.
Search for Products You'd Like to Recommend

Recommend other products that relate to your review. Just search for them below and share!

Create a Pen Name

Your Pen Name is your unique identity on It will appear on the reviews you write and other website activities. Your Pen Name cannot be edited, changed or deleted once submitted.

Your Pen Name can be any combination of alphanumeric characters (plus - and _), and must be at least two characters long.

Continue Anonymously

    If you find inappropriate content, please report it to Barnes & Noble
    Why is this product inappropriate?
    Comments (optional)