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雷达卡
Acknowledgements xv
1 Introduction 1
Why measure portfolio performance? 1
The performance measurement process 2
The purpose of this book 2
Role of performance measurers 2
Book structure 3
2 The Mathematics of Portfolio Return 5
3 Benchmarks 39
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4 Risk 61
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5 Performance Attribution 117
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6 Multi-currency Attribution 135
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7 Fixed Income Attribution 171
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8 Multi-period Attribution 191
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9 Further Attribution Issues 209
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10 Performance Measurement for Derivatives 227
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11 Performance Presentation Standards 247
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Appendix A Simple Attribution 261
Appendix B Multi-currency Attribution Methodology 264
Appendix C EIPC Guidance for Users of Attribution Analysis 271
Appendix D European Investment Performance Committee . Guidance on
Performance Attribution Presentation 275
Appendix E The Global Investment Performance Standards 287
Appendix F Guidance Statement on Composite Definition 324
Appendix G Sample Global Investment Performance Standards Presentation 334
Appendix H Calculation Methodology Guidance Statement 336
Appendix I Definition of Firm Guidance Statements 345
Appendix J Treatment of Carve-outs Guidance Statement 351
Appendix K Significant Cash Flow Guidance Statement 356
Appendix L Guidance Statement on Performance Record Portability 361
AppendixM Guidance Statement on the Use of Supplemental Information 365
Appendix N Guidance Statement on Recordkeeping Requirements of the
GIPS Standards 369
Appendix O Useful Websites 376
Bibliography 377
Index 381
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