Performance Measurement in Finance
Butterworth-Heinemann, Jul 10, 2002 - Business & Economics - 365 pages
The distinction between out-performance of an Investment fund or plan manager vs rewards for taking risks is at the heart of all discussions on Investment fund performance measurement of fund managers. This issue is not always well-understood and the notion of risk adjusting performance is not universally accepted. Performance Measurement in Finance addresses this central issue.
The topics covered include evaluation of investment fund management, evaluation of the investment fund itself, and stock selection performance. The book also surveys and critiques existing methodologies of performance measurement and covers new innovative approaches to performance measurement. The contributors to the text include both academics and practitioners providing comprehensive coverage of the topic areas.
Performance Measurement in Finance is all about how to effectively measure financial performance of the fund manager and investment house managers, what measures need to be put in place and technically what works and what doesn't. It covers risk, and what's acceptable and what isn't, how, in short, to manage risk.
Includes practical information to enable Investment/Portfolio Managers to understand and evaluate fund managers, the funds themselves, and Investment firms
Provides a full overview of the topic as well as in-depth technical analysis
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an econometric survey
an application to VaR calculation in the futures markets
Chapter 4 A dynamic trading approach to performance evaluation
measuring monitoring and modifying investment behaviour
Chapter 6 Simulation as a means of portfolio performance evaluation
Chapter 7 An analysis of performance measures using copulae
Chapter 8 A clinical analysis of a professionally managed portfolio
Chapter 9 The intertemporal performance of investment opportunity sets
Chapter 10 Performance measurement of portfolio risk based on orthant probabilities
Chapter 11 Relative performance and herding in financial markets
Chapter 12 The rateofreturn formula can make a difference
Chapter 13 Measurement of pension fund performance in the UK
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