Practical Portfolio Performance Measurement and Attribution

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Wiley, Sep 15, 2008 - Business & Economics - 402 pages
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Thoroughly revised and substantially enhanced, the second edition of Carl Bacon’s work is indispensable for serious investment performance professionals.

—Philip Lawton, CFA, CIPM Head, CIPM Program, CFA Institute

He’s a standout, a true expert in the field. In an industry rife with interpretive necessity, Carl stays the course with useful instruction, experienced guidance, and well organized references to the mechanics of performance measurement and attribution. It’s a practical resource that will continue to garner the audience it deserves."

—Tobin S. Cochran, Partner/President, Ashland Partners & Company LLP

Carl Bacon is one of the most knowledgeable professionals I know on the subject of performance measurement. He has been a pioneer, leader, and teacher at the forefront of developments in global investment performance measurement and attribution, risk measurement, and industry standards. I am very pleased he has significantly updated this timely and useful book with new emphasis on fixed income attribution, hedge funds, and derivatives. It is a great reference for all investment management professionals.”

—James Hollis, Managing Director, Cutler Associates

Carl has updated his book with further developments and to reflect his extensive travels and discussion about Performance Measurement. This second edition is now the most comprehensive guide to calculation and reporting techniques around the world and should be a feature on the desk of anyone working in, or using, Performance Measurement.”

—Brian Chapman, Director and Leader of GIPS related services, KPMG

Carl’s first edition is a renowned reference manual. The second edition not only enhances each and every chapter but also addresses many of the latest topics in our industry. Carl’s books always deliver unassailable help in an exceptionally effective manner; a compelling instructional handbook.”

—Mark Goodey, Head of Performance, Morley Fund Management (AVIVA Investors)

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About the author (2008)

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 GIPSŪ, 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.

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