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Performance Measurement in Finance 1st Edition by John Knight, Stephen Satchell ISBN 978-0080497631 0080497631

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Performance Measurement in Finance 1st Edition John Knight Digital Instant Download

Author(s): John Knight, Stephen Satchell
ISBN(s): 9780750650267, 0585461716
Edition: 1st
File Details: PDF, 2.27 MB
Year: 2002
Language: english
SKU: EB-1622018 Category: Tags: ,

Performance Measurement in Finance 1st Edition by John Knight, Stephen Satchell- Ebook PDF Instant Download/Delivery: 978-0080497631, 0080497631 
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Product details: 

ISBN 10:  0080497631 

ISBN 13: 978-0080497631

Author: John Knight, Stephen Satchell

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
 

Table of contents: 

Chapter 1. The financial economics of performance measurement

1.2 The Sharpe ratio

1.4 The Jensen measure (1/2)

1.4 The Jensen measure (2/2)

1.5 The Treynor-Mazuy measure

1.6 Parametric and non-parametric tests of market timing abilities (1/2)

1.6 Parametric and non-parametric tests of market timing abilities (2/2)

1.7 The positive period weighting measure

1.8 Conditional performance evaluation

1.9 The 4-index model of performance evaluation

1.10 Carhart’s 4-factor model

1.11 Risk-adjusted performance

1.12 Style/risk-adjusted performance

1.13 The Sharpe style analysis

1.14 Three innovative measures that capture the different faces of a manager’s superior abilities

1.15 Dynamics of portfolio weights: passive and active management

1.16 The portfolio change measure

1.17 The momentum measures

1.18 The herding measures

1.19 Stockholdings and trades measure

1.20 Conclusion

References

Chapter 2. Performance evaluation: an econometric survey

2.2 Statistical properties of performance measures (1/3)

2.2 Statistical properties of performance measures (2/3)

2.2 Statistical properties of performance measures (3/3)

2.3 Mutual funds style

2.4 International empirical results of performance

2.5 Conclusion and future research

References

Chapter 3. Distribution of returns generated by stochastic exposure: an application to VaR calculation in the futures markets

3.1 Introduction

3.2 Distribution of performance returns

3.3 Implications for VaR calculations

3.4 Actively trading the futures markets (1/2)

3.4 Actively trading the futures markets (2/2)

3.5 Conclusion

Acknowledgements

Chapter 4. A dynamic trading approach to performance evaluation

4.2 Traditional performance measures

4.3 A new performance measure

4.4 Sampling error

4.5 Hedge funds and hedge fund returns

4.6 Evaluation of hedge fund index performance

4.7 Conclusion

References

Chapter 5. Performance benchmarks for institutional investors: measuring, monitoring and modifying investment behaviour

5.1 Introduction

5.3 What are the alternatives?

5.3 What are the alternatives?

5.4 Benchmarks based on liabilities (1/2)

5.4 Benchmarks based on liabilities (2/2)

5.5 What happens in other countries?

5.6 Conclusion

5.7 Appendix: Deriving the power function

References

Chapter 6. Simulation as a means of portfolio performance evaluation

6.1 Introduction

6.2 Objectives of simulations

6.3 Methodology

6.5 Examples of portfolio simulation (1/2)

6.5 Examples of portfolio simulation (2/2)

6.6 Applications

6.7 Summary and conclusions

Chapter 7. An analysis of performance measures using copulae

7.1 Introduction

7.2 Performance measures

7.3 Empirical results (1/3)

7.3 Empirical results (2/3)

7.3 Empirical results (3/3)

7.4 Copulae (1/3)

7.4 Copulae (2/3)

7.4 Copulae (3/3)

7.5 An aggregate performance measure

7.6 Conclusions

References

Chapter 8. A clinical analysis of a professionally managed portfolio

8.2 The portfolio

8.3 The data

8.4 The analyses (1/5)

8.4 The analyses (2/5)

8.4 The analyses (3/5)

8.4 The analyses (4/5)

8.4 The analyses (4/5)

8.4 The analyses (5/5)

8.5 Conclusions

References

Chapter 9. The intertemporal performance of investment opportunity sets

9.2 Investment opportunity sets with continuous risk structures

9.3 Measuring the performance of investment opportunity sets

9.4 Rationality restrictions on conditional return moments and GMM estimation (1/2)

9.4 Rationality restrictions on conditional return moments and GMM estimation (2/2)

9.5 Empirical analyses (1/2)

9.5 Empirical analyses (2/2)

9.6 Concluding remarks

Acknowledgements

Chapter 10. Performance measurement of portfolio risk based on orthant probabilitie

10.1 Introduction

10.2 Orthant probability description of portfolio distributions (1/2)

10.2 Orthant probability description of portfolio distributions (2/2)

10.3 Implications for absolute and relative risk

10.5 Conclusions

Acknowledgements

Chapter 11. Relative performance and herding in financial markets

11.2 A model with linear technologies (1/2)

11.2 A model with linear technologies (2/2)

11.3 A market model (1/3)

11.3 A market model (2/3)

11.3 A market model (3/3)

11.4 Extensions

11.5 Concluding remarks

11.6 Appendix (1/2)

11.6 Appendix (2/2)

References

Chapter 12. The rate-of-return formula can make a difference

12.2 Alternative methodologies to measure performance

12.3 Contrasting the methods (1/2)

12.3 Contrasting the methods (2/2)

12.4 Conclusion – summarizing the Findings

References

Chapter 13. Measurement of pension fund performance in the UK

13.2 Previous evidence on performance of managed funds

13.3 Measuring fund performance

13.4 Data

13.5 Results (1/2)

13.5 Results (2/2)

13.6 Conclusions

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Tags: John Knight, Stephen Satchell, Performance Measurement, in Finance